I have looked the various distributions on this (and other sites) and have discovered 2 distros are good for Windows migrators. I use Fedora Core2 currently but am looking to move after a few issues I cant seem to resolve. (could be me or a hardware issue, I dont know.) These seem to address the problems I am experiencing.
Suse 9.2 Personal and Mandrake 10.x seem to have very few problems for normal usage, only power users report shortcomings (eg the lack make and gcc, stuff *most* of us dont need) so, I suggest one of those. Suse is the one I am leaning towards as my local BLUG (Bathurst Linux Users Group) uses and recomends it.
Please also note that they are full installs, not like the "run from CD" versions GlenX recomeneded. These will give you an idea of what Linux is about and how it looks and probably run just fine, but I am not sure about the longevity of use most of us are after (this is just IMHO).
Firewall, just use the ipTables built into the Kernel (2.4 and later i believe) but I use Firestarter, a GUI tool that configures it just fine. See http://www.linuxsecurity.com/content/view/117766/65/
for more info. However many of the distros have a builtin config tool, I just prefer and trust Firestarter. Note if the above link is broken try punching "sourceforge" into your google (or whatever web bot you use)
Antivirus, never used one, never been crippled but having said that noone in the opensource community writes stuff that is not useful/needed so maybe the clamav mentioned previously will be of use for you.
I personaly dont recieve many emails that I either dont know the sender, orits froma mailing list. I also never open an attachment that is not described by my personal friend that sent it. But that is just me.
Good luck on your new Linux adventure. And remember, no matter what flavour you choose, they are all chocolate, mmmmm.