Yes, there is software available that can "spy" on your mobile phone. Called spy software, or "spy spyware," these programs can intercept ingoing and outgoing text messages, locate where you are through GPS, obtain your call history and duration, find out who is in your contacts and access your live conversations. The information is uploaded to a Web site, where your "spy" can view it.
The easiest way to protect yourself from cell phone spying is to keep your phone with you at all times, don't download software that you aren't familiar with, and don't accept unfamilar bluetooth connections. The "spyware" needs to be manually installed on your phone, so there is no chance you can be spyed if you are carefull.
If your phone is acting strange - you have trouble turning it off, or it lights up when you aren't using it -and suspect spyware has been installed on your phone, go to your phone provider and have them restore the phone to factory condition.