There are a lot of paranoid people on security forums like this that tighten their security so much it must be hell to use their own computers... For the average user, lighter security is all you really need. A good security suite, if you don't want to deal with default deny software, and some Windows hardening.
Some good navigation habits is also a must. For instance, I recently received a very good scam email. It looked like the real thing, every detail of the usual e-mails from that company. But there were a few giveaways, the email links would lead me to an address that didn't belong to the company, for instance. Quite similar but there were differences.
Hardening Windows is a clever idea, but you must know what you are doing. People asking for help to change some Windows setting that is "locked by administrator" are almost as common as people who think they were infected by something in the forum.
Other than Scam E-mails I haven't seem a live malware I didn't download on purpose for quite a few years.
Now if you are a potential target, high profile or work with secret information, then things are different, of course. As a general guideline, if you work with secret information, DO NOT COPY IT TO A PERSONAL COMPUTER. If you do, make sure that whoever deals with security in your corporation/government agency do the tightening for you. There is a reason most companies/government agencies provide pre-configured computers for home use. Just don't blame your security suite for sending the secret malware you are creating for analysis if you decide to do it at home in your own computer