Spyware is doing what its name suggests - spying on you, noting your habits and reporting back to base. What base does with the information depends on who they are. You may get nothing at all. You may get deluged with adverts, possibly with a vague connection with what has been discovered about you, possibly not. You may get deluged with offers of very undesirable things. You may even get samples of those very undesirable things. You may find that by allowing spyware into your machine you have unwittingly opened it up to "secret" programs that can filch your passwords, credit card numbers and any/all confidential information on your machine. And so on.
As for software protection against spyware/adware, I have never found it to be the least bit troublesome.