The only one I use is Ad-Aware:
It is very reliable, and free for personal use. I tried SpyBot S&D; it did find a few extras, but nothing worthwhile.
Microsoft's...BLEH. Useless in my opinion.
AVG has a free version--yep, right here:
or direct download link:
(It's at the bottom of the page.)
I myself use Window's Firewall, AVG Antivirus, and once every few months I will run Ad-aware. But I usually have nothing...
The main things those programs pickup are cookies...spyware is almost always the end-user installing free software of some sort, which ends up having it within (not all! of course)...
But yeah...that's me:P