Countermeasures for blocking third-party tracking exist, but the problem of providing a usable and secure experience is far more complicated; the difficulty lies in the nature of the Web.
When the content itself is part of the problem, blocking the content defeats the purposes of web surfers. That being said, the following are solutions that will help limit your exposure, particularly in cases of advertising, web analytics, and traditional web bugs.
Ad-blocking software, such as Adblock Plus has evolved and is capable of fine-grain blocking of third-party content. Many include black lists that block content from known third-party advertising sites.
However, ad-blocking software may not protect users by default from third-party media such as embedded videos and images because these forms of content often aren't considered advertising.
Editing the hosts file is a low-budget but effective way of denying access to domains known to track users. It requires manually editing the Linux or Windows hosts file and adding an entry that redirects suspicious domain names to a safe IP address, such as 127.0.0.1.
For example, to block http://www.xxx.com, add the following entry:
Blocking Third Party Cookies
Most modern browsers such as Firefox 3 and Internet Explorer 7 offer the option of blocking third-party cookies. This option is easy to use and has little negative impact on most web surfing.
Note however, that blocking cookies does not prevent logging of your IP address and other traditional web server log information when you download the content, so if your IP address doesn't change, or isn't shared with many other users, you can still be identified.
Personal Web Proxy
Web proxies such as Privoxy allow you to filter virtually every aspect of web communications and can block advertisements and help manage cookies. Privoxy is extremely powerful and flexible, but requires nontrivial technical expertise to employ with maximum effect.
There are many potential countermeasures available on the Web, far more than I could list in the space available here. For example, there are preconfigured hosts files that block many prevalent tracking sites, and many privacy-aware users advocate the anonymization network Tor, but be careful as you consider various tools.
Some tools block only the display of third-party content; they do not block the underlying connection and trackable download from the third-party server.