As usuall, I'm the contrarian on this subject.
As no single product is the 'silver bullet' we all would love to possess, I am of the view
you can never have too many tools.
The caveats noted above are real issues.
Just like you can only have one firewall active, you must ensure that only one A/V is
in memory at a time (ie actively 'on guard' as stated above), but that is not to difficult to manage.
You can't just blindly install with the default 'typical install' option and need to control
what options are enabled, (eg: disabling Link Scanning in AVG), but having
multiple tools is always possible.
What would you think of a carpenter with only one tool in the tool box?