In my recent attempts to get rid of a drop down coupon menace, I came across the Ghostery addon. I use Firefox but I think it works with IE and Chrome as well. I like that you can see, in real time, what it is doing.

Here's a synopsis:
"Ghostery™ sees the invisible web - tags, web bugs, pixels and beacons. Ghostery tracks the trackers and gives you a roll-call of the ad networks, behavioral data providers, web publishers, and other companies interested in your activity. "