HOSTS file hijacking combined with bank password stealing trojans is one of the more egregious spyware tricks currently being seen. Here’s the scenario. A user is infected with a trojan and other malware that, among other things, changes the HOSTS file so that websites commonly used for online banking are redirected to the spyware pusher/thief’s site which is made to look nearly identical to the real bank site.
HOSTS file hijacking can be prevented with a number of apps including several anti-spyware programs and utilities, including one of my favorites, WinPatrol.