It is really users choice. Personally, I run my anti-virus program, my firewall. Of course the SpywareBlaster does NOT run in the background but blocks malicious ActiveX installs by implementing a “kill bit” to prevent those ActiveX programs with known CLSIDs from being executed.
The others, AdAwareSE, Spybot, I just update manually and run weekly. I also update SpywareBlaster manually every week also. My anti-virus program is the only one I have set on auto-update.
Now Ewido and Spysweeper are both paid programs if you wish to keep them running and offer protection all the time. The scanner portions can be used anytime, even if you have not paid. I do have the paid version of Spysweeper, though I do not have it running in the background. Ewido I just use for occasional scanning.