Read a recent article (in PC World, I think) that it is a fallacy that Linux is immune from such problems.
Theoretically immune? Probably not.
Does Linux actually get infected by Spyware? No, not in my many-year experience.
As far as I know, no operating system other than Windows has spware or malware.
The Mac's probably a better solution than Linux for most people because it runs a much wider array of consumer-friendly software.
Until another OS increases its market share past 10% or so, I think the risks are minimal. As long as spyware makers can profit from the top 90% more effectively than going after 5% slices of the market, I don't see much of a threat using Linux or the Mac.
D