Example: The advertising emails Amazon.com sends me... they usually have a pretty good idea of which artists I like, based on my history of CD purchases. So when those artists release a new album, Amazon emails me. Win-win... it saves me the effort of constantly trawling the Intarwebs to track down "new album" info, and it gets them a few sales that they probably wouldn't have gotten otherwise.
Same deal on Facebook... I list a lot of the bands I like in my profile, so I recently got an ad displayed in Facebook, for the new Motorhead album. Great, I didn't know Motorhead had a new album out. But I love Motorhead... now I'll buy that album and (most likely) be very happy about it.
Yeah, sure, I get that some advertising is obnoxious, over-the-top, annoying or whatever. But I think RyanMcGreal is spot-on here. Make it so I only (or at least mostly) see ads I care about, and I'm not going to complain.