I'm surprised that noone has mentioned
Proximitron yet. I use it, and am very happy with it. It takes care of regular ads of all kinds, popups, pop-unders, and just about every other kind of ad imaginable.
Edit: BTW,
AdAware is good for removing those DoubleClick cookies (among other things) that may still be on your computer even after you install Proximitron or another ad filtering program.