Thanks for all the responses and info. Really appreciated. Firstly, apologies for not originally saying I have Vista OS. I also ensure everything (security critical apps anyway) are always up to date with Secunia PSI. I recently updated to CIS 5.12. (obviously without the A/V part). I also only have the Comodo sandbox enabled.
@iroc9555: Wow, that's some list of exclusions! I think I had most of those at some point but when I did a clean install of Avast 7 a while back I forgot to redo them. I use D+ in safe mode - are all these exclusions still necessary? Anyway, from what you say it seems it's fine to have both D+ and Avast behaviour shield enabled.
@Aventador: I'm sure you meant well but I'm with mchain on this one. Regardless of whether or not you believe 3rd party firewalls, outbound monitoring etc are necessary, this may be a valid topic for discussion elsewhere, but not relevant to the question I was asking.