ad aware from lavasoft is pretty cool. It looks for spyware on your computer and takes it off.
Zone alarm is a software firewall that helps some with security.
Both of the above are available for free at [url]www.downloads.com[/url]
Try catch up service at Cnet.com. It does a diagnostic on your computer and tells you where the chinks in the armour are. It has a second function that tells you what upgrades there are for the programs you run.
It has nothing to do with privacy, but I like addsubtract. It stops a lot (not all) the pop ups.
Disclaimer- I got all this stuff recently on advise of people on this and another one or two boards. I know d!@k about computers and if you are dumb enough to take my advice your box will probably catch fire!