Ad-aware is a free (as in free beer) program by Lavasoft that scans the hard drive, system registry and memory for spyware programs, and gives the user the option to remove them. Thanks to RPgeek for pointing out that version 6 is now available.
I usually choose to remove all the spyware programs found, because I frankly don't like having that sort of thing, but I do understand that that is somewhat dangerous. For those who use any microsoft operating system, I would have to suggest that you download Ad-aware and run it, just once - I know I for one was surprised at how much stuff had been installed without my consent. BearShare in particular used to be notorious for doing this; now, it only asks at the time of installation whether you want to install its "sponsoring software" or words to that effect. (Its website claims a "no spyware" policy, thanks mat catastrophe.
Ad-aware is available at http://www.lavasoftusa.com/. Please /msg me if you know of any other information that should go here, or by all means create a writeup below.
Thanks to Servo5678 for prompting me to update this WU.
According to Heitah, Spybot is a similiar product.