This is a growing trend - you should see what some sites throw at your machine.
Take a look at FREEDOM
http://www.freedom.net
The full system is not free but the basic protection is. Particularly useful, apart from Cookie management, is the AD Manager. I have blocked 17 Meg (count them) of ad downloads in the past 4 weeks. The increase in speed to NOT download all these ads is very noticeable on a slow line + it stops all those little embedded counters (as used on PPRUNE) doing a number on your computer.
Most of the popular ads are pre-loaded for blocking and you can identify and add ones of your choice.
Specifically there is a new one on on PPRUNE :
adfreestats
Currently FREEDOM is blocking 2396 add sites from my machine.
Lastly it is also a very comprehensive firewall and with a full system you can totally protect your identity on the WW and email by aliasing through the FREEDOM home site and a couple of random jumps. This makes life alower - but I have been unable to fault it from a security standpoint. Great system - take a look.
[This message has been edited by MasterGreen (edited 28 March 2001).]