Dicco is right there, spiders inject venom into their prey which liquifys the contents, which the spider then sucks out like a milkshake through a straw (hows that for awful imagry).
But some spiders do feed on vertabrates, Eriophora transmarina, the spider in south-east QLD that builds the strong webs across pathways at night ( http://www.geocities.com/spiderimages/gardenorb.html ), is repuded to occasionally feed on small frogs. I can't find any documentation to back up my claim so take the last statement with a grain of salt.
Fuscus, about 15 years ago there was a picture going around from Alice Springs area. It was of a Redback Spider that had snared and killed a young Western Brown snake in its web.