Ooh, this a great thread. Keep the suggestions coming

Yes, it's a smaller footprint I'm looking for. I really should switch to Linux (starting out with Mandrake or Debian), but now right now. Epecially because I'm a freeware/open source zealot.

My evaluation so far:
The blackviper and XPLite links was the kind of links I was thinking of.
Personal firewall.
I have tried Keiro back in the day and was satisfied, until a bunch of trusty security-geeks told me it was nothing but a false sense of security and wasted resources as long as you keep your system patched and up to date regarding exploits.
I have long ago eliminated HTML and other exploits in email.
1) First and foremost by switching client (recently gotten my hands on a Sylpheed-Claws port after doing Eudora for some years. Love it!) and switching HTML off.
2) Secondly by using Spampal and the relevant plugin known as HTML-Modify, which strips emails of bugs, off-site images, bugs, exploits and much more.
If you do not know of Spampal, you're missing out.
Go here:
http://www.spampal.org Virus. I'm a trusty user of Frisk's F-Prot for DOS. Does the job when I do my regular scan. Thanks for the other recommendations though. I will check them out.
Been using Ad-aware and Spybot for some time. Good programs, but Spywareblaster sounds interesting. Must check that out.
Shells: I know of Litestep and is currently running Geostep. I might check Litestep out again. [It crashed on my Win98-box]
Themes, system-sounds, skins and other graphical modifications ("Play Good Save The Queen" and show a waving Charles when closing window?") will be deleted and as much as possible eliminated from the system. Nothing but bloat in my eyes.
Media player, messenger and outlook goes the same way, if possible. There's better third party programs.
Classic Media Player is a current favourite. Other suggestions for a lightweight no-nonsense visual media player? A DVD-player program?
My main fear was to have open default services that compromised the system (I'm having Blaster in mind here), but I guess those are also covered by Blackviper. Else there's hopefully always Google Groups for further info.
Thanks to all who has contributed so far.