Copmom
You'll find many techs recommend multiple layers of security, because no single anti-spyware/malware app catches all the various exploits. That can be demonstrated by submitting a known hostile file to VirusTotal. They scan it using approx 36 different best known apps and usually some will alert while others don't. However, running multiple progs often cause conflicts and a tremendous drag on your system resources and Internet upload/download speeds. Never run more than one Firewall (Windows' default is ON, so you have to disable it if you're running another one).
I have a folder of shortcuts to all my anti-v, anti-spy/malware appls but only run a few at startup or in background. Others, i.e., lavasoft and malwarebytes, I only upgrade and then run periodically. I don't like McAfee at all, but that's a personal pref and if you're relying on whatever they sell as a suite (I'm not sure - firewall, web shield, anti-v, etc etc), then you may not need much else runing simultaneously. Me, I use Avast (with certain "shields" disabled) and AVG (with that link detector function disabled). I'm a big proponent of both spyblaster and spybot. I still use SyGate's free (but now obsoleted) firewall more because of all the effort I've put into gathering bad IP addies. I hate change.
Registry progs are nice to have (but dangerous for laymen) Each offers a different GUI and functions, some better than others. Laymen really don't need a lot of in-depth functions and just shouldn't be mucking around inside Registry.
HJT is there for emergencies, but I don't know what TrendMicro enables in the background now that they've got their fingerprints all over it. You can tell by checking TaskMan's processes what's running on your system (but the file names take a while to track back, my big complaint with TaskMan since IMHO it should offer a mouseover or rightclick ID)
Ad-Aware - I only run it occasionally
A-Squared - I only use it to scan individual downloads
AFT-Cleaner - simple/safe to clean temp files (as opposed to CCleaner where you really have to be careful about settings)
CCleaner - the Hoover/Electrolux of cleaners (I run it about every 15 min)
Fix it Utility - I have it, rarely look at it
Hijack this - for emergencies where you're following a forum pro's step-by-step inst.
Premium Booster - I'm very skeptical of the claims of any "booster"
Process Scanner - I personally dislike/distrust Uniblue products
Registry Mechanic - risky, but I do run it weekly
Spybot S&D - I run it daily
Spy eraser - ??
Spyware doctor - ??
Spyware Blaster - runs in background
Super Anti Spyware - ??
System Mechanic Pro - ??
Anyone you ask will probably have a different take on the above. The ?? shows I can't keep up with all the software. In-the-wild reviews of antispyware products (even when posted on CNet or PCMag but not official CNet/PCMag articles) are usually just bogus touts planted to suck you in. Make sure the review came from a known tech writer at a reputable institution-backed article. I trust CNet, PCMag, Technorati and a few others. The rogue spyware warrior site is a valuable touchstone to separate the wheat from the chaff and the manure.