Because of the great confusion in the definition and differences between Spyware, Adware, and Malware, I have created this short guide.

Spyware: Any piece of software (or a cookie) that installs itself and monitors your surfing habits, digs for personal data, etc. without your permission.
Adware: Any piece of software that installs itself and launches an adveritising campaign on you, displaying pop-up ads, banners, etc. without your permission.
Malware: Any other piece of software that installs itself without your permission and/or performs actions on your computer without your permission. Spyware, Adware, Worms, Trojans, Viruses, etc. are all filed under this category.

I will update this when I have more time with the definitions for Worms, Trojans, and Viruses.