I only use my router's firewall because it has proven to be pretty secure. I used to run Sygate firewall alongside my router's firewall but Sygate has never picked up anything (whereas it used to before I got a router), so to save some RAM I just use my router's firewall. (D-Link DI-624)

I tried installing Spybot a while ago but I think it doesn't like Win XP x64 very much... I'll give it another shot some time.