I agree with Rednose, almost
I personally have kept all shields and will not loose them, but that is my preference, and I imagine it is not feasable for some.
I would also add the mail shield to Red's list as I personally feel that it is very important.
This is from my own experience though, having been infected with an IM virus that basically was using my pc to send out spam without my knowledge. At the time avast! didn't alert on the file, but alerted on the actions of sending the emails, otherwise I wouldn't have known it was there...
-Scott-