If you don’t want to be tracked by online advertising companies, there is a site where you can opt-out: http://www.networkadvertising.org/managing/opt_out.asp
That doesn’t stop ads and spam, it just stops the companies from tracking your movements through the web.
Note that I couldn’t opt-out of more than roughly half of the networks; the other half simply ignores my selection. Not sure why that is; I’m suing FF 4 and I can’t find an option to allow third party cookies anymore.
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