This is a very common problem that all of us experience with Windows. Short of reinstalling once a year or so (which is what I've had to resort to before), the best things you can do are to keep your systems patched, keep your anti-virus up to date and, perhaps most importantly, install and run anti-spyware software (Spybot, PestPatrol, etc.) to detect and remove some of the junk that gets installed. There are some registry monitor programs(such as Regmon and Active Registry Monitor) that monitor changes to the Windows registry.
Unfortunately, with the way Windows is designed to allow anything to create registry entries, there's not a lot you can do about what programs put in there. Also, make sure you keep your hard drives defragmented, run Windows disk cleanup and also manually go into add/remove programs in the control panel occasionally to check for anything that doesn't belong.
This was first published in September 2004