Actually I’ve been very unimpressed by spybot. My new laptop got infected with the elite toolbar adware which, among other things, keeps starting up IE to go to http://www.loadingwebpage.com and run activeX controls.
Spybot keeps finding these, but refuses to remove them, or the few it does remove, just re-appear next time I run a scan.
Personally, I’d go with microsoft’s new adware tool, although I’ve heard rumours that the heuristics in it identify IE as the source of most spyware and can try and un-install it!