I'm not too worried about ads. If it really bothers me, or I don't trust the site, I just add the site to the restricted sites list. Usually does the job nicely for those sites that like to link to ads off site. It doesn't really block onsite ads. Don't know if i'm getting that right though, but thats what it seems to do when its in the restricted list. I'd rather have ads "geared" to what I like than have stuff screen-spammed to me. hehe.
I know there was a video posted once that one of the MS teams (maybe the MSN Messeger/Live Messenger, not sure) had it where they would passively monitor sites and stuff and then gear ads towards what the user was interested in. That sounds alright I guess.