I use OmniWeb under MacOSX (it's too bad it's not available for other OSes ), and it has the best ad-stopping support I've ever seen, built into the browser or not. Here are the things I have selected that prevent me from seeing basically anything annoying:

• Don't load anything from sites matching these expressions (followed by a list of real regexps -- the default one catched 95% of all ads)
• Don't automatically load images whose sizes match the standard sizes for ads
• Don't automatically load images that aren't from the site which loads them (I don't actually have this one selected as it breaks Yahoo!, but the first item takes care of most of this sort of stuff, anyway)
• Scripts are allowed to open new windows only in response to a link being clicked

While I constantly see X10 pop-{up,under}s on all my other OSes, I never see them running OmniWeb. It's bee-you-tee-ful. It's like it's 1993 again.