Trojan horses, like viruses and worms, are labelled as malware (malicious software) because they attempt to damage data on your computer, to attack other computers or to breach your security. The types of spyware listed above may also be classed as malware according to their nature: they may be secretive, deceptive, devious and harmful, crashing or slowing down a computer, actively resisting removal and even attempting to damage your system if removal is attempted. (*hence the description of adware as a threat: in some cases it has the above qualities.)
However, some adware and spyware cannot be classed as malware, assuming the company producing the product advises the consumer that it is advertising supported and may install other components which gather information about the consumer and pass it to a third party.
The term unsolicited commercial software is sometimes used for some forms of spyware, not malicious in nature, but which the consumer may not be aware they are installing. This software can still be a nuisance on a computer, by taking up system resources (and the more spyware that is installed, the more resources are used) and causing system instability if poorly designed.
Spyware is often thus used loosely to cover a whole spectrum of unsolicited commercial software and malware. The terms pest, parasite, scumware and crapware are also sometimes used.
An excellent page, including an introductory video:
Security at home: protect your computer microsoft.com
Information about adware, spyware and malware:
The Trouble With Spyware & Advertising-Supported Software cexx.org
Adware, Spyware and other unwanted "malware" - and how to remove them cexx.org
What are parasites? doxdesk.com
List of Malware Categories spywareguide.com
Pest descriptions by category Pest Patrol
Spyware wilders.org
Spyware simplythebest.net
Spyware: It's lurking on your machine pcmag.com
Methods and effects of spyware benedelman.org (PDF)
A footnote on the future of Anti-Spyware programs
There are people who argue that protection against malware and spyware will be integrated and the end of the small anti-spyware company is coming.
Spyware's real, but anti-spyware's an illusion eweek.com
On the other hand, these small companies can be more rigorous in their attempt to remove, or at least to allow the user to remove if they wish, spyware seen by its producer as legitimate. Some anti-spyware companies have faced accusations of conflict of interest and bowing to pressure from adware/spyware producers to class their products as legitimate and not to remove them.
Yahoo! plays favorites with some adware eweek.com
Weatherbug miffed at Microsoft's spyware classification eweek.com
Anti-spyware consortium implodes spywareinfo.com
On the following two pages, you can find out if you have spyware (however you define it) and how to remove it, with the best removal programs currently available.