In all honesty, if you're careful with what you download and don't use any dodgy software (when I say dodgy I mean unreputable stuff like keygens/cracks etc which usually contain trojans) and you don't install anything which *might* install adware/spyware, such as free screensaver applications etc, then you'll be fine.
Plus some sort of firewall helps, such as the usual domestic NAT/router box in stealth mode, plus keeping patches up to date.
With those caveats, I agree that no anti-virus or anti-spyware or any other of this CPU-hogging stuff is required.