Ad-aware - by Lavasoft, scans your memory, registry, hard, removable and optical drives for known datamining, aggressive advertising, and tracking components.
Freeware
Spybot - Search & Destroy - Detect and remove spyware of different kinds from your computer.
Freeware
Zone Alarm - Zonelabs Firewalls, free version available, works flawlessly on my systems.
Freeware version available, registration required (also free).