According to McAfee, most users are unable to spot spyware on websites.
"According to the first-ever Spyware Quiz conducted by SiteAdvisor, a staggering 97% of Internet users are just one click away from infecting their PCs with spyware, adware or some other kind of unwanted software. Even though the threat of spyware has received extensive media coverage, just 3% of the 14,000-plus consumers who took SiteAdvisor’s spyware quiz received perfect scores."
You can take the quiz here. From just looking at the screenshots, I got 7 out of 8 questions correct. The one I got wrong was Blubster which I thought was safe. Probably because it looks too much like certain Web 2.0 sites and looks very much like Flock.
I would never actually download smileys, screensavers, etc. and if I did I would probably Google the site first.