K9 Web Protection This is being offered for free. Has 69 categories of web pages which you can turn on or off with personal exemptions in for particular web sites. It can force the user to use "safe" searches on search engines that support the feature (most major engines do so). It also limits access to the Internet so it can't be used off hours when the rest of the household is asleep. Logs are also kept so you can see how the computer was used.
Open DNS This is a free product. It uses the Dynamic Name Service of the Internet to filter access based on numerous categories of web pages. Interestingly, the technology has the potential of speeding up access of web pages a little bit. Its default settings automatically block known malware sites. Exceptions can be made for specific web sites. Control is done through OpenDNS's web site, so changes can be made remotely.
You can place the control in any router, so an entire household is filtered and not just one computer. I also place the control in laptops so that the filtering is enabled wherever the laptop goes. There is a down-side to this: Some Internet hotspots also use DNS to control access and the two services are not compatible.
Another down-side to the product is that a small program must run on at least one computer when your ISP uses dynamic IP addresses (most do). The program keeps track of where you are so the proper filter settings can be applied. Without it, you will only get the default filters. You can hide the IP tracker, but a knowledgable user could remove it or change the DNS settings to normal usage -- effectively disabling the product.
Avast! The anti-virus only version is free. A complete suite, including a firewall does come at a price. I haven't tried the paid for version, but the free version is definitely fast. Unlike most, it is compatiable with older hardware and software. One feature I particularly like is the ability to schedule a scan at the beginning of the next boot, before anything else begins to run on the computer (and possibly hide malicious software). I've seen one case where malicious software got past the free version and disabled the software. The paid-for version would probably not have had the problem.
AVG This used to be my favorite, but starting with version 9 the product is began to show its age. It slows a computer down too much for me to continue to use it. It has a free, anti-virus only edition and paid-for editions which include a firewall. I've used both the free and paid-for editions and never ran into a problem beyond the speed issue.
Kaspersky Never used this software. I did install it for one customer and found it to be awkward to install, which left me unimpressed.
McAfee I've never liked this software. I see it bypassed and broken by malware regularly. It is well known for slowing computers down. It often comes free with various ISPs, which is why it is used so often.
Norton Internet Security This is currently my favorite suite since the 2009 version. It does cost money, but I find it worth the price. You are allowed to install it on three computers, which helps in regard to the yearly cost. Older versions were horribly slow. The new version is fast. The best feature is that scans for viruses take place when the computer is idle, so it doesn't interfere with work in progress. It tends to run very silently.
PC-illin I haven't personally used this product. I've only seen it bypassed and broken one time on a customer's machine, which is actually a good record for such products. I have no feel for its impact on a computer's speed.
ZoneAlarm They have a free edition of their firewall. They also have paid for editions which offers complete security. The free edition firewall is too noisy -- it doesn't make a move without asking the user and too many users don't understand what it is asking and why it is asking. I've run into installation problems with the paid for version at one business account, which is why I no longer use it.