I would like to put in my 0.02 to this thread, and second the recommendation for WebWasher. I have been using it for some time, and generally speaking, it works great, and is pretty highly customizable. Plus, if you ever *do* need to view a page with javascript and pop-up windows (secondary windows for images on a news site, for example), you can just single-click on the icon in the systray to disable a portion of the filtering features.
I use WW 3.0, not the new beta one. The original one just runs as a user-mode TCP port 8080 (configurable) proxy server that filters and edits the HTML. The new beta one does something to actually add into the WinSock 2.0 TCP/IP stack itself as a system driver, and is presumably slightly more efficicent, but I don't like how low-level it runs. (I like to have control over all my net apps using ZoneAlarm.)
I also use Mozilla as my primary browser, and use its cookie features on top of WebWasher.
The *only* disadvantages that I've seen with WebWasher, are sometimes I like to open multiple new windows, and it seems like it bogs down a little on my system doing the filtering, at least in Win9x. In W2K, it's not as noticable. The other, which is slightly more annoying, is that some websites send their pages using a gzipped encoding format, which WebWasher does *not* parse, and thus does *not* filter, allowing some pop-ups to come through. (Mozilla's built-in javascript filtering helps a lot here.)