A fellow Microsoft MVP has assembled a large list (> 6MB) of domain names/IP addresses mainly used to serve advertisements, tracking cookies, and sometimes even malware.
You can find the full instructions at http://www.mvps.org/winhelp2002/hosts.htm. I personally have been using this list for almost two years now (it is frequently updated).
Because I have IIS set-up on my main machine I decided to change the redirect IP address to 0.0.0.0 instead of 127.0.0.1, so that IIS is not ?€?bothered?€? with the failed requests.
P.S. This list also blocks the YouTube commercials, which is a nice touch!