I also use the built-in WinXP firewall, but on Win2000 systems my preferences are
Kerio Personal and
Sygate Personal (both freeware).
Incidently, the soon-coming comprehensive free update for WinXP -- Service Pack 2 -- will feature a significantly improved firewall which also monitors outgoing traffic. (IMO, much-maligned Microsoft should be commended for putting Longhorn on hold to bring out SP2).
As for AntiVirus, I use & strongly recommend Norton, but I've also heard excellent things about
NOD32's superior hueristics. Three semi-decent full-featured freeware AntiVirus programs are
AVG Free,
Avast! Home, and
AntiVir Personal.
And since spam filters were brought up...IMO the best free one is
POPFile. Some other good free ones are
SpamBayes,
K9 and
Spamihilator. (There are some other freebies as well but they're generally not as good).
According to comprehensive testing by a couple good magazines which I forget now, the best commercial spam filter (and yes it's significantly better than the free ones) is
Inboxer.