Do Macbooks come with anti spyware software? If not, is there a good one to download? Thanks!

No. Just the built in firewall that you need to enable from System Preferences > Internet & Network > Sharing > Firewall tab.
No. But if you really want something, ClamXav and Little Snitch is all you would need along with the firewall.
Your welcome!

I don't see a Firewall tab under Network in System Preferences.

I'm guessing that you are looking in System Preferences > Internet & Network > Network, you won't find the firewall there. It's in System Preferences > Internet & Network > Sharing.
If your Mac is running OS X 10.5.x you'll find it System Preferences > Security.
http://support.apple.com/kb/HT1810

Is the firewall the same thing as something like Norton Anti Virus?

IDK. I've read that one shouldn't install any Norton/Symantec products on a Mac because they'd do more harm than good. Run a search in Finder's Help menu on firewall for more info about the firewall on your Mac.

I properly configured firewall should stop people being able to log into your mac from a remote location, however anti-virus software stops programs that you download by accident from damaging your file system files.

You should have both running and up to date to be completely safe.

Norton/Symantec won't do more harm than good but they have become a bit resource hungry of late, Sophos offer an alternative solution if you want to pay for a service or the open source stuff can be equally as good.

Google for AntiVirus for OS X.

Apple site search for Antivirus

some free, some paid....including AVAST for MAC O_O

Macs, viruses, and anti-virus software

Kaspersky's working on a beta AV for the Mac, but it hasn't been updated much of late. That will change though, I'm sure just a matter of time till they work out all the kinks.