Well unless you run as root nothing you download can do your system any harm. Plus as far as I'm aware there are no programs for linux containing adware or spyware other than those that tell you (i.e. the ads on the free version of Opera).
Because most linux software is open source there are many people working on it, and many others reading the source code, so if a program did contain something suspicious then someone would alert the rest of us (or so you'd hope). Also, because many linux users believe in free software and 'digital freedom' in general, it's unlikely they'd want to use something as underhand as spyware.
That's what I think anyway