I've used both Ad Aware and Spybot S&D. Each program catches stuff that the other doesn't.
What I like about Spybot is that it has a lot of ways of "innoculating" your system so that stuff can't get on there in the first place (automatically blocks tracking cookies, etc.), and it can lock your IE settings so your browser doesn't get hijacked. It'll also help you edit your registry to remove possible changes made by spyware and hijackers.