For the most part one antivirus program will dominate while you can run other adware/spyware removers together. If you run Norton or another retail antivirus program you would have to see that removed in order to run AVG, Avast, AntiVIR, or any other program of that type. No one program will catch everything. Sometimes a special remover is needed if an infection is discovered but can't be removed by the one or more programs used.
Having a good firewall only helps when you have it active prior to anything getting on a system. Firewalls block new startups and rarely pre-existing ones. So having a few tools and being prepared usually works the best.
