In the sense that you are reverting to a known good state before doing anything sensitive, yes this is a good avenue to take.
However, Deep Freeze appears to store images on disk, which can be modified, so an infection to your host system could happily infect images captured in the past, so you lose your known-good property.
You are much better off creating a live, bootable but not writable medium such as a knoppix CD. Provided the CD image download and burn process is done and checked securely, you can trust the CD forever more to provide a safe local software environment.
As others have mentioned, malware can reside in hardware/firmware. Anything from your keyboard to your laptop battery can be subverted against you. In this case, your safe sofware environment could be infected at run time by the hardware upon which you run it.
Once this is happening, you are pretty much sunk. However, you will likely be able to at least greatly reduce the risk of such firmware-based reinfection by running an entirely different OS as your host OS. For example, if you use Windows 7 for your day to day activities, and boot Knoppix only when you want to do some online banking. In my opinion it is quite unlikely that persistent firmware malware would be able to infect across two different operating systems, meaning that your local software environment is pretty safe once again.
This is assuming that the firmware malware is not autonomous, in that it requires the help of the OS to do nasty things, which they all (to my knowledge) do. One could imagine an infected network card that sends traffic reports to the bad guys regardless of the OS that is running locally, but we're starting to reach the limits of what is possible.