I USED to run Parallels and VM Fusionware, as my work used Windows. I was never really comfortable with either, and had several issues with each over the years. From what I remember, if your virtual machine got a virus, you could just erase the VM to get rid of the virus, if nothing else worked, and you had a data backup.
I now have an SSD, which makes booting up MUCH quicker, and so have moved to Apple's Bootcamp. As I really don't cruise the net or check email via Windows, my virus exposure is way down on that side of the machine. And I'm still very careful as to what I download thru Windows (normally, just my program and applicable Apple updates). However, with Bootcamp, I can no longer run (or erase) a VM.
I do use AVG (anti virus software), which is free, on Windows, and as far as I can tell, it does its job.