Consume lots of CPU, and cause unstability in your system. There's no need for more than one antivirus. AVG is a good antivirus, and it will certainly protect your system. Stick with only, AVG
Two active scanning anti-virus programs will conflict. Passive scanners won't, and you can have as many of them as you want.
The issue is the way active scanners work. The behavior they're looking for is programs that attempt to manage the entire system and intercept and mangle the data going to other programs. However, they prevent this behavior by engaging in precisely this behavior. To an anti-virus program, another anti-virus program behaves precisely as a virus does -- monitoring other programs, intercepting and filtering their data, and so on.
If either anti-virus program allowed information to get to a process without scanning it, it wouldn't be doing its job. But they can't both scan the data (since whichever wasn't last would have scanned the data that went to the other anti-virus program, not the data that went to the target process). So there is no sane resolution.