Should I run an antivirus in a Windows Server?

If it's connected to any machines that may be connected to the Internet, then absolutely yes.

There're many options available. While I personally don't like McAfee or Norton, they are out there. There's also AVG, F-Secure, ClamAV (though the win32 port is no longer active), and I'm sure hundreds more :)

Microsoft has even been working on one - I don't know if it's available yet outside of beta, but it does exist.

ClamWin, mentioned by @J Pablo.

ESET NOD32 Antivirus Business Edition, from https://serverfault.com/questions/2899/what-anti-virus-for-windows-server

If you handle files and programs on the server from unsecured locations, definitely yes. Try http://www.avast.com. They have pretty good antivirus solutions for servers with a minimum footprint on your resources.