Yes, I use all three.
Ad Aware and Spybot are both excellent, but each will find things the other misses. Running both seems like alot, but I only do it once a week or so unless I'm noticing a problem.
Zone Alarm is something I've used for a couple of years as my firewall, but every since trying their pro version last year, I've been hooked. One of the cool benefits of ZAP is the privacy feature which includes pop-up/pop-under blocking, cache cleaning and more.
BTW, Zone Alarm's standard version is still free and is a fine firewall, but doesn't include any of the privacy options. You can download ZAP for a 30 day trial though.