SpyBot and Adaware are absolutely crucial pieces of software. They each catch spyware that the other misses.
These days, it is not sufficient to just have an anti-virus program. You need a full suite of protection. Anti-virus, anti-trojan (the better AV programs can handle trojans decently, but will not always be able to eliminate a trojan), and anti-spyware. Using a non-garbage web browser (such as
Mozilla Firefox) will prevent a lot of this crap from being able to install itself through web browsing (Internet Explorer is currently the main cause of virus/trojan/spyware infections, seconded by MS Outlook). Additionally, it is a good idea to run a firewall.