Spyware and adwareare malicious programs that advertising companies place on your computer to feed you ads and then track you.
These programs aren't just bad for your privacy, but for your computer's health. They can really slow things down to a crawl.
Lavasoft's Ad-Aware sniffs them out. Use it in conjunction with other anti-spyware programs like the free downloads you'll find in my Security Center. That way, you've got all your bases covered.
Note: When you download Ad-Aware, it will asks you to install its toolbar and search feature. Make sure you opt out of these if you don't want them on your browser.