I got the anti-spyware download with out getting the toolbar. Yahoo's privacy policy states that they don't share info on users beyond their partner companies which is likely true. From their privacy policy:
QUOTE
Yahoo! displays targeted advertisements based on personal information. Advertisers (including ad serving companies) may assume that people who interact with, view, or click on targeted ads meet the targeting criteria - for example, women ages 18-24 from a particular geographic area.
Thats about as bad as their intrusiveness is I'm sure. These toolbars are considered spyware by some because when you use them your surfing habits are monitored which allows them to target their advertising as mentioned above. I don't agree with that because they are assuming that they know what content you want to see.
Beyond that, if there was any real spyware involved programs like Ad-Aware and Spybot would pick up on it.