If you aren't using some kind of ad-filtering software, you are either a) a masochist, b) lazy, c) deeply concerned about a "social contract" that you think exists between yourself and the sites you visit, d) a chump clicking on a monkey, or e) frustrated and wishing there was a better way to do things.
I used to use Proxomitron at home to filter web crap on my Windows machine. Then I switched to Privoxy, which does basically the same thing, except I run it on a FreeBSD server where it cleanses the web for all the other machines on the LAN. That said--I just started a new job, so I installed Proxomitron on the WinXP machine they gave me. Here we get to real point of this post: there seems to be an active Proxomitron user community at CastleCops.com, and user Grypen maintains a nice filter set. (There are others too, but Grypen's seems to have the most recent updates.)
Sad side note: while digging up this stuff I learned that the author of Proxomitron died in 2004.