Two conflated things
1) We are told that advertising is important as it pays for the web sites that we visit.
2) Analytics: building up a profile of who has visited which pages.
I can live with (1) as long as they: are discrete; don't make my browser slow or download large files; etc. If a web site were to serve these up along with what I came to look at I would probably be OK with it - as long as it did not tell the advertiser who I was.
One trouble with (1) is that 3rd party advertisers do not trust web site owners when they say that they have served an ad up X thousand times. This is one reason that they are served up as links back to the advertiser's web site - bang goes my privacy, the advertiser can track me as I browse the web. They also set cookies, etc, to help them track me.
What is worse is that most adverts are served up by first running some Javascript in my browser; very often this will also snarf information about me and send this to the advertiser - so they know even more about me. This is also how the Internet data vampires work (eg Google, Facebook), they build up bigger pictures of who/what I am - far more detailed than individual web sites can do.
Then there is also the Javascript in many web sites which is just (2). This is pure evil. Much can be easily stopped with NoScript or similar, but this can make some sites fail to load properly - thus most of my friends will disable NoScript quite quickly, that is if I persuaded them to install it in the first place.