McAfee doesn't catch everything. Neither do the others. I have found running a combination of Spybot, Windows Defender (now embedded in the new XP upgrade) and my ISP's own spyware control software, I can keep my machine reasonably clean.
In the past I ran McAfee, but found it didn't catch anything the other (free) filter/scanners had already removed. THAT money goes into the "cruise fund" instead.
Spybot also has active protection, which they call immunization, which you need to keep regularly updated. You also have to run the immunization function regularly, since it is not automatic.
I have a Trojan dialer on my machine now, which I have not bothered to remove. It may cause more trouble removing it than ignoring it, since I no longer have a phone line connected to my pc. It does try to dial anyways... persistent little bugger.