BrowserSpy has tests to show you how much information your browser leaks about you and your system. This site uses the most modern techniques that are also used by many of the most popular websites to find out as much as possible about their visitors. It does not cover every data vacuuming trick, but it demonstrates many of the most common ones. The majority of this info, like browser type and screen resolution, is useful to websites so their webpages will show properly. Some info they can get can be a serious problem, like what applications you have installed. BrowserSpy will tell you if it can be done and, in some cases, what you can do to fix the problem.
Stop Junk Mail & Telemarketing is loaded with free tips on how to "opt-out" of junk mail, telemarketing lists, Internet tracking, and other schemes. I have done much of this already and can tell you it works! This might provide a small degree of protection online, too.
SpyBot Search & Destroy is the best spyware-remover available, and it's free. I recommend also using Ad-Aware, as both SpyBot and Ad-Aware can find and remove things the other can't. I still recommend using the firewall and DNSKong to prevent future infections. SpyBot has a built-in update feature which is safe to use and you should check for them from time to time. Due to overwhelming popularity, there is a second, "mirror" site set up here. Due to the popularity of Spybot (and some other tools like Ad-Aware), there are numerous rip-off artists peddling similar-sounding products and/or using similar websites (e.g. www.safer-networking.COM is a rip-off of SpyBot's homesite of www.safer-networking.NET) NEVER trust anti-spyware tools that require payment or that offer free trial scans!
Lavasoft's Ad-Aware 6 is another good, free spyware-removal tool. This is also a must-have. Like everything else recommended here, it's free.
Privacy.net has some great info and a tool to check how much information you leak while you surf. Also they have an excellent demo of how cookies can be used to track you about the net and how that information is associated with your true identity. Check this out!
alt.privacy.spyware is a USENET discussion group on spyware and is the place to go for news and questions.
Home of the Security+ PDF the Net is talking about! - An invaluable tool for those who want to get their digital security certification or for folks interested in Internet Security. This is a downloadable CompTIA Security+ Exam aid.
Andrew Clover's Doxdesk Site has great info on how to manually remove spyware or for general information on the specific kinds of parasites.
SpywareInfo is a top resource for all things concerning spyware and security issues. It is complete with forums and an up-to-date newsletter. You might want to subscribe to SpywareInfo's newsletter to keep up-to-date on issues concerning spyware as well as newly-identified parasites. There are also message boards available.
Counter-Exploitation's website has lots of info on spyware and adware, plus message boards.
Gibson Research Center is an excellent resource on spyware and security issues, though it is a bit technical. Steve Gibson's pioneering work is actually what put spyware and Internet privacy on the public's radar screen.
Pyrenean makes DNSKong. These folks are geniuses! The version carried at their site is a newer version than the one carried on this site though my version works well and is a bit easier to setup. Real quick-and-dirty instructions on setting it up (it's easy!) are here or you can read my simple setup instructions in the How-To section.
Proxomitron's official site is down due to it's creator ending support. Don't worry; Proxomitron has a strong following and others are constantly creating new filters for it. This is one of many support sites that has downloads and a forum with information on this excellent web-filtering program that blocks pop-ups, malicious javascript, and can even hide your browser's identity, which can prevent web designers from attempting to exploit weaknesses in known browser types. Proxomitron also has cookie-blocking features and limited ad-blocking. It works great "as is", though I recommend downloading this after you have installed the firewall, the lists, and DNSKong. Instructions on how to set it up are here.
BleepingComputer has some good discussions and info on the latest scams going around the net.