A useful tip I came across. Seems good to me - anybody know of a downside?
You can use a HOSTS file to block ads, banners, cookies, web bugs, and even most hijackers. This is accomplished by blocking the Server that supplies these little gems.
There is no need to install, turn on, or change any settings. Windows automatically looks for the existence of a HOSTS file and if found, checks the HOSTS file first for entries to the web page you just requested. The 127.0.0.1 is the location of your computer, so when the entry "ad.doubleclick.net" is requested your computer thinks 127.0.0.1 is the location of the file. When this file is not located it skips onto the next file and thus the ad server is blocked from loading the banner, Cookie, or some unscrupulous javascript file.
How to
Block Unwanted Parasites with a Hosts File 