I highly recommend this browser extension, which blocks web trackers.
I'm not a privacy nut, but all things being equal, I'd just as soon not be tracked like a mofo. The new Facebook stuff heightened my concerns a bit -- it never crossed my mind that that those Facebook and Twitter buttons were tracking me regardless of whether I clicked on them or not.
Ghostery identifies tracking bugs (aka web beacons, web bugs, page tags), such as pixel/image trackers and scripts, blocks them, and then gives you a pop-up report of what's been blocked. You can then click on those that were blocked and find out more about them. It takes like 10 seconds to install and another 15 to understand. Super simple.
I've been astounded by just how many trackers are embedded on sites I visit every day. For example, I just looked at an article on Wired.com and Ghostery found 11 trackers - Brightcove, ChartBeat, Disqus, DoubleClick, Facebook, Google AdSense, Google Analytics, Lotame, Microsoft Atlas, Omniture, and Twitter. Ignorance was bliss, I guess.
Some of those trackers (e.g. Google Analytics) provide important information to Wired.com, who is serving me something to read for free. I want the sites to get the advertising support they need to continue to produce great articles, but I hate the fact that it's all or nothing. Either I let these completely untrustworthy third parties run amok with my data, literally getting wealthy on something of value that I am creating simply by using the web, or I block them all.
I think I'm going to allow Google Analytics to track me -- mostly because I know people who rely on this data for their own sites and because I really do trust Google with my personal data more than Facebook -- but that's it. Everybody else can go fuck themselves.
This ad tracking stuff reminds me of the early days of iTunes, where everything was DRM. I wanted to support the musicians, but every time I downloaded something, there were all these barriers to sharing it with people. If my wife and I wanted to both listen to an album on our iPods, we had to buy two copies. Bullshit. So I downloaded stuff illegally because it was the only non DRM option -- sometimes after buying one DRM'd copy legally. Nuts. Nowadays, I buy just about everything I listen to, and it's no biggie.
I kind of feel the same way about this stuff. I want to support people producing good quality web content, but I don't like not knowing what I'm giving up for it. By blocking the ads, I'm getting something for free. Maybe one day someone will figure out a truly above-board system -- transparent, opt-in, ability to view your own tracked data, etc -- and popularize it.