Alexa isn't on it yet but there's a very good site at
http://www.fappo.org/opt_out.htm that shows how to set up opt-out cookies from most of these sites. Ad-aware doesn't seem to recognize all of them as opt-out cookies, however, so you have to configure Ad-aware to ignore them, once they are set up. When using Ad-aware, don't forget to use their RefUpdate program to update the list of spyware cookies.