I run both, with no issues. I also use software restriction policies. Defense in depth. No one product is perfect.
Case in point: the recently-discovered "Double Agent" exploit that Malwarebytes has already fixed, and ESET hasn't yet.
EDIT: It appears I'm too slow with this, and the issue in ESET has been mostly mitigated (and mostly already was -- kudos to ESET on the protected process issue).
STILL, I see no reason not to have, again, defense-in-depth. ESET is my primary security suite. Malwarebytes is a second line of defense, with manual Spybot scanning and website blacklisting/browser inoculation as an extra (free) step. I've noticed no performance issues.
