does Avast SafeZone actually make a difference?

Yes, this is a well established technique for secure access to online banking and such.

The idea is to build a brand new machine from scratch every time you want to log onto your bank, and wiping it afterwards. Because the machine is only on for a few brief moments at a time, and because you do nothing with it apart from visiting your bank, it becomes very hard for spyware or other malicious software to infect it.

Obviously building a machine from bare metal every time is a pain, so to make this a practical technique you either use a VM, using a fresh copy of the disk image every time you use it, which is the approach SafeZone takes or a LiveCD.

It's a good technique, but if you want to switch to a different vendor, you still can, and implement this technique yourself. The easiest way is a LiveCD; a VM is very slightly harder to set up but easier to use. Both are available for free, for example you can grab a Ubuntu LiveCD from http://www.ubuntu.com/download/desktop or a copy of VMPlayer from http://www.vmware.com/products/player/

I suggest above that you use a fresh copy of the disk image with the VM; alternatively you can use the same image each time. This is slightly less secure in theory, but still fine for regular use, and makes it simpler. SafeZone defaults to this approach it appears, with a button to push if you do want to throw away a used image. (hat tip to @polynomial's comment below for this)

Lastly, whether you use VM or LiveCD, one point that people sometimes miss is that you should regularly make sure that you have updated them with the latest security patches.