As far as the popular ones are concerned, there aren't any spywares. But there are advertising.
WLM has a banner, Yahoo Messenger uses a banner. Can't remember for Gmail Chat...
AOL itself has lots of ads, worse than the 3 mentioned. Gaim (now Pidgin) doesn't have any. Miranda also have none. Not sure for Jabber, haven't try it yet.
WLM or Yahoo... hmm...
I myself prefer WLM, it's simpler to use, although not many features. A better alternative will be
aMSN, it's way better than WLM. Despite having lots of features, it doesn't lag. It's also using banners as advertisement, but it can be turned off.