I like to take a proactive stance in computer protection (PCs anyway). Zonealarm is either free or pay depending on what you use, and I've found it to be a very effective firewall.
For spyware, if you are worried about it, both Spybot-search and destroy, and Adaware are good and free.
Even if you delete all your cookies, history files, etc., if someone really wants to know what you've been up to, they can get that data off your drive unless you do an overwrite with random 1's and 0's over all the free space. But, that's like Ben says- to get rid of child porn and treason.