For my XP virtual machine, I decided to add an additional layer of protection by using Privoxy (does a great job of blocking ads by the way). Also decided to hose Threatfire (isn't quite working right anymore; get updates constantly when there is none; these folks haven't updated the program or sigs that I can tell for quite a while now) and replaced it with Malware-bytes Anti-Exploit. I'm toying with Midori as a replacement for IE too, but haven't decided on a next generation browser yet; Anti-Exploit doesn't apparently cover Midori either at this moment. Since I'm still going to use Sandboxie, I've pretty much kept my security setup to a minimum so no dedicated anti-virus since I regulary hose my VM often enough (keep a prestine snapshot; takes only a few seconds to recover).

Malware-bytes Anti-Exploit (still in beta):