That said, I'm certainly not against commercial promotion and far be it from me to pass judgment on one of the most profitable ways to spend - and make - money online ($25B in 2010 and an estimated $31B in 2011). I'm even sympathetic to the argument that online advertising keeps the Internet humming along as the subsidized services we practically depend on in turn depend on advertising dollars to resist the temptation to charge us.
However, when this online marketing comes with security surprises and compromises user privacy, I am forced to give it a thumbs down. After all, what better way to infect users en masse is there, other than by compromising an ad server and injecting malicious code through legitimate Web sites without having to break into them individually? Ah, the economies of scale! Just as I do with unsolicited email which is now mostly addressed by effective spam filtering, I don't make much of a fuss about online ads. I simply want to ensure that they scale both up (to address the needs of small businesses, since larger ones have an entirely different set of options in this regard) and down (to ensure that individual users are protected at home).
One of your best options (and an alternative to browser-based methods) is to use OpenDNS, whose many free options also include blocking by entire categories of Web destinations (such as hate, porn, P2P, etc.). This combined with a new Hosts file (and optionally further augmented by the use of an IP firewall) makes for a very elegant filtering solution. The hosts file is a simple step that effectively makes it so that Macs and Windows (or indeed Linux) machines end up hitting a dead end when they attempt to access any of the listed destination domains. In a quasi-complementary manner, an IP firewall such as PeerBlock effectively blocks IP address ranges rather than domain names. For me, two significant benefits of such content filtering are a faster Internet (because such ads, many of them content-rich, simply can't get downloaded) and a cleaner Web experience (since on-screen real estate is simply not cluttered with ads).
In closing, and to ironically come full circle, I must point out that like any DNS service, especially one that is outside the country, the use of OpenDNS may serve to feed a behavioural advertising beast. However, the company - at least so far - simply displays some proprietary search engine results when a Web destination cannot be found. Keep in mind that some or all of the data they collect is reported back to users as part of their value offering, but do try to make a habit of reading and understanding the privacy policies of Internet-based companies you consider depending on.