There's a very interesting test of anti-spyware software at
http://spywarewarrior.com/asw-test-guide.htm
It looks like a pretty thorough test to me, and the forum favourites don't do too well.
The best in the test only finds 75%. Spybot S&D is often recommended, but in three tests finds only 40/134, 51/153 and 69/139 - where I went to school, that's a fail. Adaware SE does a little better, with 79/138, 70/153 and 79/138. More importantly, we often recommend running both (and I do) but they're detecting the same spyware. I only looked at the first test, but in that one Spybot only finds 2 of the 57 missed by Adaware.
HijackThis! isn't specifically tested, because it's not suitable for the average user - however, the advice in the conclusion is to learn it, or befriend someone who has. Hello, Liam
As always, prevention is better than cure - but when popular P2P software is installing more than a dozen different bits of malware I don't hold much hope for Joe Sixpack...
(oh, and for a real nasty, try CnsMin - it apparently anchors itself to a device driver and won't budge even in safe mode. If that's true, then it's looking even worse in future)