Common sense plus a firewall. Anything that gets passed a good firewall on it's own will be using a 0-day exploit. If you're using a z-day, you have some serious juice and definitely have already evaded any anti-virus. The only other way to get on the system (and the most common way) is by exploiting a much less solid system: the human brain. Social engineering is the main distribution method for malware and the only way to prevent it is common sense.
Good examples that back this up can be found all over the place. Stuxnet, for instance, used a chain of 20 z-days and was undetected by AV's for 3+ years. However, things like RAT's and trojans, for instance, are all detected by AV's but have no z-days for spreading, and use social engineering to spread.