They also allow you to schedule unattended scans of your hard drive. Most allow you to check incoming emails and downloaded programs. Some can check inside certain types of compressed files like zip files. Sometimes people compress the document they send you so that it doesn't take as long to send. All packages have some ability to find the newer macro viruses - though their success at doing so varies.
Computer security involves a payoff between protection and usability.
Totally secure systems are hard to use, slow and have strictly limited functionality. At the other extreme, you can have a system that anyone can use, can do anything and delivers peak performance - but it has no security whatsoever. Typically, anti-virus software will slow your computer. Apart from price and performance issues, the main difference between the programs lies in their ability to spot viruses and their effectiveness at removing them. It should be noted that none are foolproof.