Only play spy cards in the first round. Get as many cards in your deck as you can and keep the enemy placing as many cards as possible. You will win every time.
There are plenty of strategic ways to play spies. If you can force a win in the first round without burning too many cards, play your spies in the second round then pass. You force your opponent to waste several of his cards, while you actually gain cards. Or, hang onto Thaler or the Mysterious Elf and toss them out at the end of the last round. Great way to infuriate opponents who think they've won (well, if they were human, at least).