I also run with no virus scanner. Most malware enters on the proviso that you are running with admin privileges. The second line of defence is taking a cautious approach when browsing the Internet (i.e: not using P2P to download cracked software, not downloading from unknown sources, clicking yes to random popups, etc ,etc).
I have not paid a yearly subscription to an AV company since 2003 and have not been any the worse off. Maybe better off because my PC runs without a resource hogging auto protect sitting in the background.
That said, the nature of the threat is changing rapidly as the malware writers are turning to less obvious, more covert methods of infecting their victims (
one example). So I would not publicly recommend that you ditch your AV protection in place of nothing because what I and dclamp are doing is taking a risk. I would however recommend that you don't shell any money. There are free online and offline scanners (AVG, Trendmicro, Clamwin) available as well as free personal Firewall and Spyware scanners.