If you really want something completely spyware free, look for a program called Gnucleus. It's completely open source and uses the kazaa p2p networks, but it's not as reliable as kazaa with downloads. I'm using kazaa lite right now since I'm able to get much better results with it.
As far as winmx goes, it may not have any spyware (yeah, right! and I have a bridge to sell you!) but one thing it does have is cops. Ever wonder how so many priests are getting caught with kiddie pr0n? They were using WinMX.