Besides email, there is what we call SPIM or Instant Messaging Spam. This is spam sent to instant messaging such as Facebook, Skype, and Yahoo Messenger applications. This also includes public or private messages spimmed using Twitter, Facebook, and other social networking services. The messages usually contain a link to a compromised site containing malware or spyware. Some services that support file transfers are abused by malware spim. Today, these social networking services have implemented back-end security to mitigate SPIM.  However, at the time of writing, there are still a few incidents of malware spreading through instant messaging. An example of this can be seen in the following screenshot:

The previous screenshot is a private message from Facebook's instant messenger containing a ZIP file that actually contains a malware file.