Norton Internet Security (or the brand-new Norton 360) work very well with Vista and come out well in tests. If you live in the US near a CompUSA, you'll notice a very attractive offer for Norton Internet Security for $4.95. That has everything: anti virus, forewall and spyware protection.
I just don't have good experiences with McAfee (it is slow and buggy) but some people like it. Kapersky does not work well (yet) with Vista.
Windows Defender (free) for Vista (or a free download for XP) is a decent product that catches most evil and shows what is in your startup, what is running, and if any of that is suspicious. But you need antivirus in addition to that.
If you get internet through a router, that gives some protection in addition to the firewall. Vista has a firewall for incoming and outgoing traffic (the XP firewall only for incoming).
Be careful with running multiple firewalls or multiple spyware catchers. They can conflict and slow down your system.
Vista has turned out so far, in months of tests, to be more resistant to virus, spyware, and trojans than XP. You still must have at least an antivirus package.