I'm not sure what your experience is with AVG, but in MY experience, the majority of cases where AVG did not catch something, it was usually because an old version was installed, or when it went grey, (To warn you it either needed a manual update or it wasnt active for whatever reason) they ignored it and never upgraded or updated it...
Its certainly not perfect... but I'm pretty tough on it, due to the infected drives I scan and my own habits and use of P2P.