OpenBSD.
The homepage says it all...
"Only one remote hole in the default install, in more than 8 years!"
On a side note, security software is relational to the operating system your on. The best defense it a good offense, and the best offense one can have is to layer your security. Try not to have a single point a failure in your security. Have a firewall appliance/router before your PC, that way your PC is not taking the direct attacks at first. Have a primary antivirus, and use a secondary to use as a double check on occasions (there are a couple of CD bootable antivirus that do not require installation). Always keep up to date (as much as possible) on updates (O.S. , antivirus, etc). Lastly, come to terms with this... Security it a journey, not a destination... And It is not a question of "if" I get attacked but "when" I get attacked.
Of course the above is merely a very brief intro (for those unaware). The above merely (exponentially) increases for businesses and organizations.
Windows:
Firewall: Service pack 2, IPSEC policy tweak.
AntiVirus: Computer Associates eTrust, ClamAV, AVG
Spyware: Spybot Search and Destroy
Linux:
Firewall: iptables or ipchains
Antivirus: ClamAV
Spyware: Mozilla and Firefox
OpenBSD:
Firewall: pf
Antivirus: ClamAV
Spyware: Mozilla and Firefox
Sincerely,
Shaman