This is sorta kinda an expanded version of the Spybot/Ad-Aware list Kris posted, only expanded to include software for detecting, removing, or preventing malware installations.
I personally have - and use - ALL of the items on the list below. I catch a LOT of malware and virus attempts but thus far have shrugged all of 'em off without any ill effect.
The Must-Have List:
Spybot Search & Destroy (Link)
Ad-Aware 6 (Link)
Pest Patrol (Link)
A2 (A-squared) (Link)
Bit-Defender Free Edition (Link)
AVG 6 Free Edition (Link)
Hijack This! (Link)
What They Are/Do:
Spybot Search & Destroy
Spybot S&D is one of the two most popular malware detectors. The latest version includes a memory-resident (always running) protection tool that actively blocks attempts by malware to modify the system Registry.
Ad-Aware 6 is the other of the two most popular malware detectors. Its scanner is very exhaustive/comprehensive. Ad-Aware is best used in conjunction with Spybot S&D as one will catch what the other misses.
Arguably the most thorough malware detector, Pest Patrol finds things even the potent Spybot/Ad-Aware combo might miss. However, the free version doesn't remove any malware, so you'll have to buy this one for full functionality.
A-squared is a powerful trojan/keylogger detector. It will search every file on a drive if you want it to, and includes a memory-resident (always running) protection tool that actively blocks trojans and keyloggers and other assorted malware from installing.
Although not as user-friendly as A-squared, TDS-3 is another powerful malware detector with emphasis on trojans, keyloggers, and similar nasties.
Bit-Defender Free Edition
Bit-Defender is a potent free antivirus suite that incldues automatic AV signature updates. Its disadvantage is the lack of a resident scanner - unless you buy the more advanced version, of course. Still, it makes a good backup scanner.
AVG 6 Free Edition
The current favorite for best free antivirus software. AVG includes scheduled operation and free updates, and unlike Bit Defender it has a memory-resident (always running) protection tool that monitors files as they are run.
CWShredder finds and removes many variants of the CoolWebSearch browser hijacker, one of the more pervasive adware creations one can encounter. This tool is best run from Safe Mode with NO browser windows open, and severe infestations may require several run-reboot sessions.
H.T. is an EXTREMELY powerful tool for rescuing badly hijacked systems. It detects and lists EVERY autorunning application, service, tool, and component on the system and can be used to remove any or all of them so they aren't reinvoked at the next boot. This power comes with a pretty big caveat, though - you can use it to unload critical system processes and make your computer not boot properly, or at all, so be careful what you remove with it. On the upside, the Security Forums Dot Com mesage boards has a section devoted to helping users of Hijack This in delousing their systems - it can be reached here.
DSOstop is a small utility that disables Data Source Object access to web-enabled parts of Windows, like Internet Explorer. This effectively closes a security hole that has been used by some types of malware to infect Windows systems without your having to run ANYTHING. (DSO-exploit malware applications can infect computers directly through the Internet connection without requiring any user intervention.)
HTAstop plugs another security hole in Windows by ordering Windows to not execute HTA (HyperText Applications) like it does EXE files. This prevents another type of auto-deploying, no-user-intervention-needed malware from working.
Proxomitron is arguably the most powerful (and among the smallest) popup-blocker there is. It can block popups, pop-unders, various types of script, DHTML, web bugs, banner ads, META REFRESH auto-reload timers, onload/onunload script, and tons of other things. Plus, as it functions as a web proxy, it works with practically any web browser. Couple Proxomitron with Mozilla Firefox or Opera and you may never see a popup again, ever.
If you grab any or all of the apps on my list, be sure to USE them, and be sure to UPDATE them REGULARLY for maximum usefulness and detect/remove capabiltiy. If you're not willing to bother with updating 'em, you're probably wasting your time using 'em to begin with and are dooming yourself to a malware nightmare in the future. But if you DO use/update them, you may protect yourself from getting malware from the very beginning.