Ad-aware and Spybot, if I recall, require you to regularly download spyware definitions and then you have to sweep your machine for them. MicroSoft's new software connects to their site (as a background process) and, by default, installs new definitions, and catches spyware/adware being installed as it happens.
Also, SpyBot returns registry keys which aren't always dangerous, some are quite important, and the only way to determine them is through the colour coded results - not good for people with colour blindness. There is the risk that, with SpyBot, you can delete registry keys by accident - especially if you don't know what you are deleting.
Adaware I used once and then removed it from my hard disk. Just didn't like it.