AVG also do a real time spyware scanner. This works like an anti-virus prog hopefully stopping the spyware from getting on your pc, unlike the others which only scan to remove after infection.
They are still worth using though, and I always install and keep updated the following; Ad-aware, Spybot S&D, A squared Trojan Hunter and Spywareblaster.
Zone Alarm is a fairly decent free firewall, and AVG is a very good free Anti-virus prog.