Not sure how useful this will be. But ever wonder about the adverts that turn up on the web? I went looking on the screw fix web site one upon a time. Then the next thing I know, every sodding advert on you tube is for screw fix. Same with ebuyer. Look at a TV, then it's TV adverts right up the arse. Apparently it's something called "Behavioral Advertising".
In the interests of transparency, you can opt out apparently.
The network adverting initiative have this handy page to do a load of things...
http://www.networkadvertising.org/managing/opt_out.aspAnd Google keep theirs here...
http://www.google.com/ads/preferencesNo you won't get any less adverts. But it should stop that being "spied on" feeling. Adverts will just be random, rather than obsessing with the one or two things they find in you cookie stash.
As I said, not sure how useful this is going to be. But if it makes advertisers life's a little more difficult, then all kinds of good.