When I tried it, I purposely attempted to visit an infected site to see what would happen. First, the bad sites were immediately flagged as bad in Google results - the good sites took a few seconds to be checked. This would indicate that the bad sites get added to a database and then ignored for a bit, while the good sites have to suffer continuous scans.
Then, when I clicked a link to a bad site, I saw an AVG page warning me that, if I attempted to visit the site without adequate security software, "Such as AVG", then I was leaving myself at risk of infection. Umm...hang on. Clearly I *have* adequate security software - that's what's warning me, after all. So where's the benefit of pre-scanning?
Since we all accept that visiting certain websites can be a security risk, how exactly is my security helped when the very software that's supposed to be protecting me is visiting all these sites on my behalf?
If a vulnerability in the scanning engine were discovered, a user wouldn't even need to visit an affected site to be infected. From their site: "AVG scans every Web link you come across, whether in e-mails, documents or instant messages, no matter the source, before you open them to ensure you are protected in advance 100% of the time." - so it would be enough for someone to send you a link in email or IM for you to be attacked.