I have only used the RC version of Windows 7 so the retail package maybe different. The user can opt out and disable most if not all of the data collection services that will run if the user accepts all of MS recommended settings. Microsoft also inform the user of the nature of the data collected, so this data collection is not underhand as such. However most users and nearly all new users to Windows 7 will accept and opt in to the data collection services because the wording in the opt in/out dialogues hint that it would be a bad thing to turn them off.
Here are some links discussing what Windows Vista/7 does regarding user data collection.
I will let you decide if you feel you are being spied upon.
A default install accepting all of MS recommended settings enables the following
WMP: sends usage data to MS
Media Center: joins the Customer Experience Program and sends usage data to MS.
IE8: Suggested Sites sends browsing history to MS
IE8: Smart Screen Filter sends website addresses you visit to MS.
The Customer Experience Program sends Windows usage data including installed apps and app usage, the file and folder structure of your PC and system specific hardware data to MS amongst other things.
This data collection can be either opted out from or disabled, but your average user is just going to accept the defaults and MS recommendations for fear of something not working properly.
Microsoft state that spyware is something that collects user data/info without informing the user. I would call that covert spyware, MS spyware is overt spyware. Whatever hairs one wants to split it is still spyware.