FWIW -> http://www.lmgtfy.com/?q=FWIW
Downloading photos, music, etc., has no impact as they don't contain any software that gets executed.
And even if you download software (game or anything), they won't install automatically, but you have to deliberately allow the installation. (And the download isn't also happen without your knowledge, as there's also a prompt/dialog for that.)
Of course, if you install software yourself from dubious sources, then you don't know whether the app is malicious or benign. So, if you download and install applications, do it from reputable sources where there is some control over what they distribute (i.e., use old services such as Handango, or the developer's web site if you trust them, or Samsung's channels - if you had a Nokia phone, you could use Ovi Store). If you get stuff via torrents, etc., there's no way of knowing if you get what you think you're getting, or something bad.
In other malicious software exists, but you can easily avoid it without needing any virus scanners.
For external/network based attacks, there's still no need for any firewalls, if you don't install server applications on the phone, and even then, you'd really only run the risk on a Wi-Fi network (there's no external, unsolicited connectivity on mobile networks to a mobile phone, unless you have a very weird network operator).
And if virus scanner makers advertise the need, then they of course do it to sell their stuff (after all, 3 billion phone users is a big market compared to, maybe 1 billion PC users). It makes no difference to the virus scanner makers, whether phone users really need their products or not for them to sell their stuff. Mostly what they sell is a placebo.
On a Windows PC, you could easily have network services/ports open (web server, file server, instant messenger app, etc.) just sitting and waiting for connections from the outside. Mostly, however, in the PC case, it is still the ignorant user that downloads something via accessing a web site, or accepting a file through a chat/messenger app, or downloading and installing a malicious app (e.g., something they think is an innocent game, but is really a "trojan"; i.e., a malicious app - for example containing spyware or a virus - inside an innocent-looking app).
The difference also with a PC is that the PC can (without a firwall on the PC or the network modem/router it is connected to), be contacted from another machine on the Internet (i.e., it is "routable"😉.
And as I've tried to describe, a mobile phone usually gets a private TCP/IP address from the network operator, which is not addressable externally. And, even if the mobile operator/carrier does give a public IP-address to the phone, they still don't allow unsolicited external connection requests from outside their network through their firewalls directly to phones. Hence, no need for firewalls on a phone, unless your network operator behaves totally unlike all the other network operators (and even so you'd still need a listening server app running and waiting for connections on the phone, which phone's don't have by default).
With a lost/stolen phone, I'd say that in 99.99999999% of the cases, having lock/security codes and PIN codes different from defaults, and SIM changes and power-on and screen-saver recovery requiring the user to enter the codes (+ password protected memory cards) is enough for security.
And as I said earlier, backing up the data, so that the phone is not the only place where the information resides, is a good idea, too.
Note that the anti-theft software that a user can install, can easily be disabled by a phone thief; i.e., if they don't need your data, they can just remove the SIM, and you can't send any remote commands to the phone to lock it down. And if the anti-theft app cannot be uninstalled like other apps, they can simply reset/reformat the app to factory settings (or if it is installed on a memory card, just remove the memory card). In such cases the anti-theft software is useless.
For parental control, the security/lock and PIN codes are enough, if you don't want kids or anyone else using your phone. If you, wish to lend your phone to someone, and then wish to protect/hide something, then some kind of security software might help (unless they uninstall it or reformat the phone, when they have access to the phone; then the situation is the same as with a stolen phone). I have never felt the need for any kind of parental control sw on my phones or PCs, so I have not really any knowledge of their good or bad sides, and what's available for a Samsung phone.
I've also no spam SMS/MMS problems or crank calls (and I've use mobile phones daily all over the world since 1994) so I can't help you with that, either.
Anyway, check out the "Security & Encryption" sofware category here:
http://my-symbian.com/s60v3/software/category.php?name=Security_&_Encryption&fldAuto=15