Honestly peiper, I don’t worry much about it. Just disable Java in your preferences and set your browser to only accept cookies from sites you visit. No third-party ads cookies allowed. Trash all cookies periodically. Becomes a problem if you’re a member of sites like BMEWS that use cookies. If you are still really paranoid, try the Tor browser.
"Start Private Browsing Session” is your friend. Toss all your cookies, history, everything, every time you shut browser. Keep firewall up, and anti-spyware ap and security ap running.