IMHO the built-in firewall is better than 3rd party ones. Reason is it kicks in the moment network is initialized, while others kick in later, leaving a window of opportunity for malware.
As far as spyware goes, best anti-spyware tool is *you*, I prefer having S&D resident in the background as a failsafe, but that's all.
Any piece of software that stores settings in the registry (and most do that) *WILL* slow down your machine more or less - your registry gets bigger and bigger data stores take longer to process...
Also different antivirus tools take more or less resources from your PC. In my *personal* experience best security/speed/price balance is given by AVG, but if security is your main concern then Symantec AV Corporate seems the best to me, I've had ZERO infections with it in 8 years in a corporate environment, at the cost of taking more resources than other AV solutions... and $$$
I hear Kaspersky AV is very fast and good but not cheap either, however I recently read about it getting bad grades for detection... Maybe the scores are indeed dependent on the company that sponsors the test...