If you don't need to use any internet applications in Windows, and don't intend to use the internet in Windows, then you're completely fine. You can just deny your emulated Windows virtual machine internet access. You have the option of letting the virtual machine "share" the host (your Mac's) internet connection. Just don't allow it to share your internet. If you don't give it any--even if you did--if you don't use any internet-based apps or browse the internet in Windows should be completely fine. Repeat: you DO NOT need to install any antivirus/firewall/spyware software if you don't intend to use the internet in Windows.
I suppose there is a very slim chance that if you downloaded a virus in OS X it could migrate over to your virtualized Windows and infect it like that, but that's fairly unlikely, I think. And since no viruses will affect OS X, the worst that you'd need to do is (a) reinstall your virtual Windows or (b) "restore" it to a saved "snapshot."
I run Windows using VMWare Fusion for a single program I need that doesn't have a Mac version yet. I don't browse the internet in Windows, and don't use any apps in it that access the internet, and I haven't had any issues yet. It's much more convenient for me than Bootcamp would be. If you're worried, keep a "snapshot" (this is simple with both Fusion and Parallels) of your virtual machine at a point in time you know it's clean, and if anything bad happens, you can restore it to that. I messed around with some skins on the XP interface and it completely messed up my system, but I had made a snapshot before trying it out, and I restored to it and everything was back to how it had been an hour ago. No issues whatsoever.
So don't worry. If you won't be using the internet in Windows, you should be fine. You don't need to install any protection software that may slow down your system. As long as you have 2 GB or more RAM, Windows runs just fine in emulation (well...I'm using XP; don't know about Vista). Personally, I recommend Fusion over Parallels or Bootcamp.
...unless you need 3D games. Then your decisions already made for you. You'll need Bootcamp.