Security is more than just anti virus.
If Bullguard is a full internet security suite, and you take it off and JUST put on AVG you are leaving yourself unprotected.
AVG (or Avast which I feel is better) both offer free anti virus, but you also need fiirewall and malware / spyware security.
Note Microsoft offer Defender which may already be on your PC, and Microsoft have also recently brought out Security Essentials which is also free.
http://www.microsoft.com/Security_Essentials/