I use two anti-spyware. They both seem to catch a lot of spyware, and each catches some the other misses. And they are both free. Lavasoft Ad Aware has a free version and Spybot is free–although I strongly recommend giving a donation to Spybot so we can all keep using it. I even bought the Spybot t-shirt.
Here’s a link to an article that rates the anti-spyware.
Postscript: This is an older post. Please see newer anti-spyware suggestions too.