I use Ghostery/Adblock, but I have found that it breaks some web sites (whose javascript expects the tracking code to be loaded).

BTW, if you're using Chrome, you might also want to look into the "Users" section of preferences. You can create multiple user profiles with separate history, cookies, cache, etc. You can have a different user profile per window at the same time. (After you create a second user, there will be an icon in the top right corner of the window to open a window as another user.)

I like to use this to protect against CSRF. (I do financial stuff as another profile and facebook as another profile.) It's also useful for QA if you need to be logged in as multiple people at the same time.