Though I can't say it has ever saved me from any malware, I do use EMET v. 4.1 (along with AVAST!), but needed to modify a few EMET settings for some applications.
Specifically, EAF and Heap Spray are unchecked for Classic Start Menu (in Classic Shell) and Firefox. One issue noted was that the File Save dialog (which invokes Classic Start Menu) would hang in Firefox until EAF check was turned off.
AVAST! alone would probably be sufficient protection, but EMET does not seem to slow things and might be providing a bit more security.