Last Friday, eWeek ran a story "Spam Trojan Installs Own Anti-Virus Scanner" that tells about a new form of Trojan attack that comes with its own anti-virus scanner! This level of sophistication hasn't been seen before in Trojans.
The threat to users from this type of attack, on infected computers, is very large. The trojans are getting much smarter at trying to outwit your existing anti-virus software on your computer as well as "remove competing malware!"
Bottom line - You're in an arms race where it doesn't pay to stand still and rely upon one or two levels of defense i.e. the firewall and the anti-virus software. While you need to keep up pressure on your firewall and anti-virus vendors to quickly produce updates in response to these types of attacks, you must not rely upon these defences to keep out all attacks.