Firefox with the AdBlock plugin (AWESOME plugin!); content filtered through Kerio Personal Firewal (under windows)l & The Proxomitron (under windows and linux), and an ad-blocking hosts file (see here: everythingisnt.com/hosts.html). The combo means I haven't seen a pop up OR banner ad in a VERY long time (and if I ever do, AdBlock can zap it permently). The combo (minus Kerio) is also cross platform and works perfectly under Linux (Proxo via wine).
For sypware scanning I use Spybot, Adaware, and MS Antispyware. All of which are free. Most "experts" recommend using more than one spyware sweeper, since none actually catch everything. Since all of those are free, why NOT run them? They all work great and catch things that the others don't. Having said that, if I had to pick just one, I'd be hard pressed to choose between Spybot and MS Antispyware. Both offer active scanning (ie, a memory resident scanner) and catch a ton of stuff. Spybot catchs more "trivial" stuff, though - like the history maintained by Wordpad and other apps. I like that
Of course I normally use the absolute BEST spyware protection known to man: Linux.