If you want to avoid spyware, you might want to consider switching to Firefox. According to a PC Magazine Pipeline item, "Make Way for Mozilla," the increase in Firefox users may be partially attributable to the fact that it "does not allow ActiveX programs to run or let so-called trusted sites circumvent security settings," and so avoids the spyware problems that Internet Explorer users experience.
Tom Mighell, on inter alia, notes that Webroot has recently identified CoolWebSearch browser hijacker as one of the top spyware threats. Watch out for this one, and in general avoid downloading toolbars or other browser utilities from unknown web sites. After all, aren't the zillions of toolbars from reliable, well-regarded sources enough for you?
Several articles in the past few weeks have noted that the downloading of music, especially via file sharing services such as Kazaa, is very risky behavior. Reports of spyware contained in illegally copied music files are becoming common and spyware spread in this manner seems particularly resistant to removal. If you want to download music, pay for the privilege via music sites such as iTunes and Musicmatch. (For more information, see the PC World article, "Risk Your PC's Health for a Song?") and "Terminating Spyware with Extreme Prejudice" from the New York Times.)
One more item on the spyware front. Someday soon spyware protection may be built into Windows or Internet Explorer. On December 16th, Microsoft announced the purchase of Giant Company Software of New York, which produces a spyware removal product called Giant AntiSpyware.