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!