The most recent issue of PC Magazine has a fairly lengthy article on the subject of "spyware" and "ad tracking" junk. The new issue isn't up yet, but should be at PC Mag (http://www.pcmag.com/) soon.
Unfortunately, the article doesn't offer any really good solutions, but some of you may be interested in looking at how good the available "solutions" aren't.
The well known Ad-Aware is apparently about as good as is available, but flunks quite a few specific tests - especially for the lunatic fringe crap that seriously tries to get into your machine.
MOST tracking devices come as simple cookies, and most of it can be readily recognized and deleted. The article indicates that many people are finding other kinds of - more malicious and more intrusive - stuff on their machines. None of the utilities tested was particularly good at removing all of the different kinds of junk they looked at.
For those interested, the site also links to "downloads" where you can find the latest version of their free "CookieBuster" that reportedly makes it easier to sweep up your cookie crumbs. I haven't tried it, but their similar stuff has been pretty good.
Note that you will get a "DoubleClick" cookie when you visit their site - one of the more innocuous things their article discusses.