My apologies for the delay in getting a response to your post. I'm of the opinion, some of the free security software is just as good as the paid. Have a look at the below independent comparative of A/V software. All four you referenced in your post, were included in the testing. Many of the members use free versions.
I'm going to assume you were considering Microsoft Security Essentials (MSE), or AVG. Not both. Two should not be running concurrently.
Norton and McAfee's suites, come with a firewall included. Something AVG free and MSE don't have. With that said, there are also some very good free firewalls to be had. The choice is going to be yours to make.
Best of luck..
I know they say the best things in life are free but I am a little skeptical. Do you think that free software like Microsoft Security Essentials and AVG can replace security software that you must pay for like Norton of Mcafee?