I have never tried AVG, but I do use Avast free as well as Zone Alarm personal, and have never had any conflicts or issues with these. I have these installed on all the computers in the house which include, windows 98SE, XP media center, and Vista home premium.
I also have spybot search and destroy; spywareblaster; and AdAware, which are also free programs.
Better safe than sorry!!

Hope this helps you out!