Personally I prefer the separate applications approach. Plenty of malware is designed to target some of the more popular apps. and disable it from running. Spreading the security over different layers/brands goes some way to reducing some of the risk, in that, maybe your AV gets nailed, but the firewall stays functional. Maybe.
Another argument against an all-in-one is that a company might have grown its' laurels on the strength of, say, an antispyware (in this case inherited from the very capable Ewido) but the quality of the other tools may not be so strong.
The separate apps I'm running each take care of themselves regarding updating (and they're free), excepting the demand scanners, which should be manually updated before using. No great chore. They're only likely to be necessary if something gets past one of the residents.
Specifically concerning the AVG suite, most of what I've read by users on security forums such as Wilders suggests that something like Avira or even Norton (the 2009 series-apparently much improved over its bloaty predecessors) is likely to do a better job than AVG.