I find myself in a strange situation when it comes to ads and privacy. I am not a supporter of ad blocking because I believe content producers are entitled to revenue for their efforts and including ads with their content are about the only way to seek compensation. There are different kinds of ads. Some bloggers secure compensation for ad views by making deals with those willing to pay to include ads. Typically, these ads are the larger image ads you see on popular sites. Image ads may be displayed for other reasons, but those paying for just the display of ads want their message to unavoidable. Link ads typically result in payment only when clicked. These ads are much less obtrusive.
Aside from the screen space taken and ads that obscure viewing, ads themselves are not a major concern to me. Cookies are another matter. To offer you ads you may be more likely to be influential, it is very useful to know something about you and your interests. A way companies acquire this information is by access to information about your browsing history. There are likely situations in which you are willing to share information and situations in which you are not. At least for me, the issue is really that I know very little about whom is collecting information.
Ghostry provides one way to learn more about who is collecting information as you browse. Ghostry reveals the cookies that are active when you browse a particular web site (see image below) and categorizes the purpose of these cookies.
Adding Ghostery as an extension to your browser allows you to access the type of information I show here. If nothing else, it is informative to see what cookies are active when you view different sites. This display was generated by from one of my blogs. I use and trust Google ads. This display allows you to select individual cookies and block if you want. I would pay closest attention to the Advertising category.