I have many ad servers blocked at DNS mostly because of cross-domain tracking. Browsers (by default) allow third-party cookies, and while I don't mind if a site runs ads, I do think cross-site tracking and profiling has to be more controllable by users.
The firefox extension "requestpolicy" http://www.requestpolicy.com/ is a fascinating view of the web. It's too strict to use every day, but is much more an "opt-in" view that everyone should try for a day.