Via the EFF:
Millions of users are trying to protect their privacy from commercial tracking online, be it through their choice of browser, installation of ad and tracker blocking extensions, or use of a Virtual Private Network (VPN). This guide focuses on how to correctly configure the blocking extension in your browser to ensure that it’s giving you the privacy you expect. We believe that tools work best when you don’t have to go under the hood. While there is software which meets that criteria (and several are listed in the final section of the guide), the most popular ad blockers do not protect privacy by default and must be reconfigured. We’ll show you how.
Definitely a helpful guide to help you get the most out of your Ad/Tracker Blocker.
As a note: you don’t just want to block ads and trackers for privacy reasons (linked to being surveilled as you travel around the Internet) but also for security reasons: online ads are a vector for dropping malicious payloads and even the biggest networks are periodically affected.