I should say, it depends on the climate I think, but most of the time, you shouldn't let spiders outside, since the change in environment will usually kill them.
Usually, I just ignore them and let them crawl away somewhere unless they're in my bathtub or something, in which case, I always just drop them off in my sink (which has a towel they can climb out of) or some random corner in the house far away from my room, though I understand most people are a bit more scared of spiders than I am.