I am all for using Windows 7 built in security. But nothing is bullet proof so having some knowledge and a backup is essential. And some 3rd party products are more comfortable to use.
LUA + UAC: I prefer to use this instead of 3-rd party auto-sandbox (that lower an application rights/no virtualization) modules from COMODO or avast, but it might be harder to use since pop-ups appear on every program that needs administrative privileges. Hopefully Win8 will introduce some sort of whitelising/blacklisting to it.
Built in firewall: 3rd party firewalls might be easier to set-up and use.
Windows Backup: works good but it is slower than some alternatives.
Software Restriction Policy (only makes sense on a limited account) is great but it needs some tweaking to make some software work. Among the software I use daily, Chrome and DropBox needed some Additional Rules to work as expected under SRP.
Conclusion: Microsoft can secure your PC, but you will need to tweak some things and understand what those tweaks do because in some cases you will receive an error message while trying to do common things like installing a program you just downloaded. Tightening security in windows somewhat limits your own actions since there is no whitelist. Security policies are enforced on good software as well.