privoxy
Privoxy is a non-caching web proxy with advanced filtering capabilities for enhancing privacy, modifying web page data and HTTP headers, controlling access, and removing ads and other obnoxious Internet junk. Privoxy has a flexible configuration and can be customized to suit individual needs and tastes.
I can’t believe I haven’t posted about privoxy before: I’ve used it for years to block ads (among other things) for all the computers and devices on my network at home, and on my netbook when out and about. It’s stable, reliable, and whitelisting sites with decent, unobtrusive adverts is easily done.