Each of these applications has features that, when combined, make a great privacy suite.
1. Zone Alarm.
Use all of the firewall features. Disable the privacy features (cookie control & ad elimination). You can still turn on cookie blocking at the firewall for selected programs if you wish.
2. Internet Security 4.0
I'm really interested in Guard Dog, but McAfee has bundled all their programs into this one suite, so I get them all and just use what I want.
Guard Dog has an active privacy watcher that will prompt you when personal information, such as your name, address, phone number, account number, etc., go over the web. It will also prompt you when programs launch other programs or try to access the web. You can allow access once or always, or deny access once or always. Guard Dog will also block 3-rd party cookies (cookies from sites you haven't visited) and also delete cookies from un-bookmarked sites at the end of each browser session.
Don't use Guard Dog's ad blocking.
3. Ad Subtract
Intermute's Ad Subtract will block all pop-ups and banner ads, as well as block cookies, animations, music and images. It will also stop "referrers:" sites that open up other sites. You can customize what is blocked by site.
4. Other Bundled Software
With McAfee's Internet Security 4.0, you also get VirusScan 6.0, Firewall, Safe & Sound, QuickClean Lite, and Shredder. VirusScan did well in catching the recent klez virus, and updates its virus signature file automatically each week. The Firewall works well, but I thought it was performing slower than Zone Alarm when all the security features are turned on. Safe & Sound is a utility that will automatically back up selected files to another location. You can set it to back up to another drive or another directory, and set the interval anywhere from 30 minutes to real-time mirroring. QuickClean Lite is a garbage eliminator. Shredder is an enhanced DELETE program which overwrites deleted files many times with random values and scrambles the directory entries.
Combined Package
Many tools have similar features, but I really like how Guard Dog blocks indirect cookies and automatically deletes cookies from non-bookmarked sites at the end of each session. Other tools require you to manually select what to delete. Ad Subtract stops all the eyesores and extra clicks to close unwanted windows. VirusScan is as good as any other virus program, and is bundled with Guard Dog. The Firewall is as good as Zone Alarm, so you could use it instead if you wish.
-PJ
I would suggest that you're creating a single point of failure by installing multiple software packages on a single machine.
And especially if you have more than one computer, you might consider my tiered approach:
Now, your bug/virus/trojan exposure is controlled by the OS and applications you use on your computers. Certainly you'd want a decent virus scanner and spyware detector on those.
This is a must for broadband users, but for you dial-up users, the Linux box can also be configured to dial into your ISP and log you on.