1- What Sonicwall comprehensive gateway security includes ( CGS )
a- Premium content filtering service .
b-Intrusion prevention service
c- Applilcation firewall
d- Anti spyware
e- Gateway Anti virus
f- Firmware upgrades and patches .
g- 24/7 call center support . You can call anytime to Snicwall support
h-Hardware replacement warranty –
More details here https://www.sonicwall.com/downloads/ds_cgss_us.pdf

2- Can I buy services separately or as bundle .
Yes you can . There is separate subscription for all ( or most ) of the above . But if you calculate cost you will find CSG bundle is best and cost effective . Anyway followings are the offerings

DELL SONICWALL COMPREHENSIVE GATEWAY SECURITY SUITE-W/O VIEWPOINT FOR XX (1 YR)
SonicWALL Gateway Anti-Virus, Anti-Spyware and Intrusion Prevention Service for XX
SonicWALL Gateway Anti-Virus, Anti-Spyware and Intrusion Prevention Service for XX
SonicWALL Gateway Anti-Virus, Anti-Spyware and Intrusion Prevention Service for XX
SonicWALL Content Filtering Service Premium Business Edition for XX (1 Year)
SonicWALL Content Filtering Service Premium Business Edition for XX (2 Years)
SonicWALL Content Filtering Service Premium Business Edition for XX (3 Years)
SonicWALL Comprehensive Anti-Spam Service for XX (1 Year)
SonicWALL Comprehensive Anti-Spam Service for XX (2 Years)
SonicWALL Comprehensive Anti-Spam Service for XX (3 Years)
SonicWALL Dynamic Support 8×5 for XX (1 Year)
SonicWALL Dynamic Support 24×7 for XX (1 Year)
DPI-SSL For XX

3- What about Anti-spam ?? Is this included in CGS .
No . It does not . Anti-spam offerings are following .

Comprehensive Anti-Spam Service For XX (1 Yr)
Comprehensive Anti-Spam Service For XX (2 Yr)
Comprehensive Anti-Spam Service For XX (3 Yr)