M42 to Minolta AF adapter comparison
This comparison shows how the M42 adapter can affect infinity focus when the adapter thickness is off even by a fraction of a millimetre.
For the left picture, an unbranded black adapter was used (the adapter came with the Zenitar 16mm fish-eye lens). For the right picture, a Kood-branded adapter was used. Note, however, that the brand name is no assurance of quality, as there is sample variance. As such it's hard to recommend any specific brand for consistently correct results.
Both pictures were taken with the same lens (Carl Zeiss Jena MC Sonnar 135mm f/3.5) on the same camera (Sony DSLR-A100) mounted on a tripod, with the exact same settings, in raw and converted to JPEG with the same settings, all sharpening and noise reduction disabled. The widest aperture of the lens (f/3.5) was used to minimize depth of field.
It is clear that the unbranded adapter (left picture) is too thick, and brings the nearby tree into focus instead of the building at infinity. Look at the original size and pay attention to the sharpness of the bricks and the antennas.
I did this comparison with four different adapters and three different lenses, taking multiple pictures for each adapter and lens combination, each time making sure the lens was focused at it's infinity. I'm only posting this one shot to illustrate the effect.
Curiously, most of the adapters were slightly too thick for proper infinity focus, but none were too slim. As such, it is possible to sand down each adapter to the proper size. Personally I use very fine-grit silicon carbide paper lightly sprinkled with some water and rub the face of the adapter on the paper in a figure-eight (8) pattern. It takes a while, but it works.
To check an adapter you have, photograph some detailed object that's distant enough to be at "infinity" for the lens you're using. Try to get some object at a closer, "finite" distance into the picture as well. If the closer object is focused better than the more distant one, your adapter is too thick. Note that short lenses (wide-angles) are more affected than long ones, since the change is greater in proportion to the focal length. However, short lenses also have more depth of field at a given aperture and focusing distance, so you'll want to test with both short and long lenses (short ones to tell if focus is totally off, long ones for fine-tuning).
Update: In my experience the electric M42 to Sony/Minolta AF adapters from James Lao have had accurate infinity focus out of the box. Anyone really serious about using M42 lenses on a Sony DSLR should eventually get one of those anyhow (to enable proper anti-shake operation), but to get started it suffices to get the cheapest adapter one can find (and be prepared to sand it down for infinity focus).