TL;DR: All older answers are now obsolete and don't reflect current situation.
The last release that includes standalone Windows Spy utility is 1.1.26.01.
Here is the link to 1.1.26.01 installer download.
Since v1.1.27.00, AutoHotKey_L no more includes Windows Spy utility (AU3_spy.exe) as a standalone exe; it is replaced by WindowSpy.ahk as noted in comment of another answer. Here is the relevant excerpt of release announcement:
Replaced AU3_Spy.exe with WindowSpy.ahk.
- AU3_Spy.exe is still launched if WindowSpy.ahk is not found.
- It now follows the focused control by default, and has a checkbox for both window and control to follow the mouse.
- It no longer takes over a global hotkey (Win+A). Instead, hold Ctrl or Shift to suspend updates (release them after focusing Window Spy).
- It is now possible to Alt-Tab to Window Spy on Windows 10 without the contents of the GUI changing.
As other answers have stated, use 7-Zip to extract AU3_spy.exe within the installer, then place it in any location of your favorite choice, and call it a day.
For 1.1.x users, they can actually use the new spy script to get equivalent functionality.
But not so fortunate for AutoHotKey 2.0 alpha/beta users, as the script was written in 1.x language, which is incompatible with 2.0. For them, getting the standalone exe is the only option. (There exists other replacement utilities, such as Spy++ from Visual Studio, but not as convenient.)