In addition to whatever you do with the browser plug-ins, take a look at this DNS hosts file based table --
http://www.mvps.org/winhelp2002/hosts.htm
it is lower level than a browser plug in and higher level (sort of) than firewall based blocking. It is an "almost" last resort type of block for things that otherwise probably would have gotten through.
Personally I would not use it by itself, but in conjunction with a good firewall and ad blocking browser plug in, I'd feel pretty well covered.
For security, though, I'd be even MORE concerned about SCRIPT / CODE blocking (Javascript, Active X, JAVA, Silverlight, ....) than AD blocking. Also blocking FLASH, QUICKTIME, WINDOWS MEDIA PLAYER / other media player plug ins are crucial for security. I would also consider blocking web-view of PDF files and .DOC files and other similar things. There have been nasty exploits in FLASH, PDF, video files, sound files, and even image files lately.
To be even more safe you really want something like 'NoScript' is for Firefox and also the ability to block images / sounds / video files / scripts etc. that go to 3rd party sites no matter if they're "ads" or not.