Depends how much you value your privacy. While advertising\sponsoring is a common way to publish and promote a product for free, some software advertising systems do more than just show static banners, they make use of your internet connection to retrieve new banner ads from a third party's server and send information about you.This information is collected and sold on.
(In short:The more they know about you, the higher is your value for them.)
Because of the secret behaviour of these systems, they are also called advertising trojans. Most of these systems are installed with an (often popular) host application, which may or may not work without the snoopware components installed. Some attach themself to your browser, some are completely invisible. Popular applications including parasites are, for example Go!Zilla, AudioGalaxy or BearShare.
If your concerned about spyware get "Ad-aware" at
http://www.lavasoft.nu
- it's free.