Spyware is generally in the form of a tracking cookie, it's job is to transmit info on how you surf the web to it's parent company, then they send you more personalized ads.
In general, they are not trying to steal your credit card number, or information like that ( it can and does happen, though).
The biggest problem with ad ware is it slows down the preformance of your computer, and that can be a pain in the ass when you don't feel like waiting 20 minutes for your system to boot, change pages, etc.
I reccomend a program called Ad-Aware from
LavasoftUsa ( you can get the download
here from download.com ]
This is a free program, and it works pretty well, as long as you update it about once a week, and run the scan about once a week.
It will identify, and at your option, quarentine, or remove the spy, ad, and malware that is found on your pc.
If you have any other questions, please feel free to contact me... Hope this helped!