You may not believe this, but in I-don't-know-how-many-years of running various versions of Windows since 3.1, I have never installed any AV software. Have never had a single virus or any other nasty thing. Some would occasionally show up as an email attachment, but I knew better than to click on them. Into the trash they went.
More than anything else, it's a matter of where you surf the web. Torrents, adult sites, P2P file sharing, or anything else you could even slightly consider shady, you'd better be protected. Otherwise, your odds of running across something drop quite a bit.