Jamie... Microsft, I think, doesn't want to add Spybot-type software to Windows because that's a crummy solution to the problem!
I think SP2 goes a LONG way toward preventing users from getting any malware in the first place. That should be the goal... prevention and protection. Not cleaning up afterward.
I do think it would be nice if they could update IE with the SP2 features for all supported Windows OSes (2000, 98/Me, XP SP1, etc.).
I've heard that MS is considering a virus scanning product... I certainly think that if they do that, they should include spyware removal tools as well.