I think you will find that peoples opinions on Anti-Virus applications are as varied as any other piece of software or hardware, and people will choose what works best for them.
Up until a few weeks ago, I was quite happy with the Windows 8.1 Defender. It worked for me, but my concerns were much the same as Sean's. Its free, very popular, and built in, and therefore more likely to be targeted.
A few weeks ago I started looking for a security suite. The data on my PC is very precious to me, and I use online banking and purchasing a lot.
I tried many, BitDefender, Norton, Kaspersky, and many others. BitDefender was my favourite, but it won't play with the Asus utility suite, or any other software that can take direct control of the PC hardware in real time.
I finally went for Kaspersky Pure 3, basically because it had what I wanted in terms of security features. It doesn't hog the system, in fact I'm blissfully unaware that its even running.
What swung it for me though, was they had 30% off the purchase price.
So far I like it a lot.