I've been using the Ghostery extension in both Chrome and Safari for awhile now. It sniffs the web pages and blocks requests for the douchey stuff that tries to track you online. It lets the good stuff through, but prevents all of the creepiness from executing. It also reports on how many tracking items are attempting to worm their way through it on each page you visit. Eye opening.
It's free. Runs in Chrome, Safari, Firefox, and IE. There's also a custom browser for use on iOS, but I haven't tried it yet.
For instance, on my blog, it shows that the embedded twitter code I pasted on a previous post triggers some tracking funkiness. It blocks it automatically. And it also shows that there aren't any analytics or other trackers running here.
It's a small thing, but makes the web feel like more of an opt-in exercise, rather than an uncomfortable walk through a street lined with scammers etc...