Actually, I think having more than 4 would unbalance the game.
They are extremely usefull to explore an AI as they move fast, can use enemy's railraod and roads, and so one spy can cover a lot of ground, allowing you to see most of the oponent's configuration.
But they can do nice sabotage of strategical ressources. If you wage war in the modern age (I like it, so I try to keep some oponent computer until then), then the spy in invaluable in removing strategical ressources like oil and aluminium from your oponent making it easier to win the war. For 200 dollar per sabotage it is very usefull to be able to remove all the oil from a nation as it is waging war (and therefore can not build tanks, ships or planes anymore).
If you had more than 4, you could cripple the oponent so bad that the game would be totally unbalanced. Especially since the computer does not seem to be able to send a ton of worker to the newly destroyed oil in order to rebuild it in one turn.
Of course I bet the spy would be less usefull insabotaging a human oponent (but I only play single player... not enough time to commit to a multiplayer game).
Just my 2 cents.