Without a doubt, the best of the bunch is Proxomitron. Working with both Internet Explorer and Netscape Navigator, this program will delete pop-up windows, alerts, banners, animated GIFs, auto-play music, various sounds, dynamic HTML, and more. It's also free.
Adsoff from Intercantech is a popular shareware program. While you can download a free trial, there's a yearly subscription fee of $US19.95. Like Proxomitron, Adsoff will delete ads, cookies and popup windows. The program also has a list of ad servers, and cuts off interaction with them, so even if the ad is in a non-standard size, Adsoff can still get rid of it.
Adbin loses points because it only integrates with Internet Explorer. It replaces ads with images from your local drive, and you can change the way the program evaluates images to eliminate even more ads. The latest version can run in two modes - strict and relaxed. While the strict mode will catch more ads, it is also more likely to replace images that aren't ads at all, but portions of the Web site.
Lastly, there's Ad Close, from Rivers Edge Software. Ad Close's two features are closing down popup windows and closing down windows with sexually explicit material. This part is nowhere near as good as the commercially available censorship programs. On the plus side, you can add your own folders to the protection list, thereby ensuring no one else can access them.
All these programs run separately from the browser, with Proxomitron, Adsoff and Adbin sitting in the system tray.