I've been a happy Privoxy user for quite some time now. I can really recommend it to anybody who wants to get rid of all the nasty stuff floating around on the web these days. From the Privoxy homepage:
Privoxy is a web proxy with advanced filtering capabilities for protecting privacy, modifying web page content, managing cookies, controlling access, and removing ads, banners, pop-ups and other obnoxious Internet junk.
The most useful feature for me is that it automatically removes almost all of those ugly flash-based ad banners.
My todo list: