Here is a very interesting article, written by Eugene Kaspersky (of Kaspersky AV fame), which shows that even the very best AV programs will let some nasties slip by. I've seen posts by folks in the past who claim that there is no need to patch Windows as long as there is a good AV program running. This article indicates that a good, all round, approach to security is important.

Unfortunately, there are relatively few products available in shops or on the Internet which offer even close to 100% protection. The majority of products are unable even to guarantee 90% protection. And this is the main problem facing the antivirus industry today.

The contemporary antivirus industry and its problems