I think Spybot beats AdAware these days and is a definate download. This is particularly effective dealing with Avenue Inc.
Also take a look at
http://www.widerssecurity.net/spywareblaster.html
for another good freebie
And for payware look at Webroot's Spy Sweeper ; probably the best of the lot.
It does a marvellous job eradicating bad cookies and is far more effective than AdAware at locating spy/adware.