Protecting Yourself Online

Awareness Tools

Lightbeam aka Collusion for Chrome: Tracks the websites you visit and who is tracking you on those sites. It visualizes all the websites and the trackers in a network diagram so you can see which trackers follow you accross multiple sites.
Panopticlick: EFF project that shows you the types of information avalible to web pages you visit.
BrowserLeaks: Project that lets you look at different types of information your browser provides such as GPS information and Javascript.
Fiddler: A Windows only application that lets you see web requests in flight after they leave your web browser.

Ghostery: A tool that blocks trackers (not necessarily ads) from loading. The tool will also provide a list of the trackers blocked.
Adblock Plus: Blocks advertisements from loading. Will not block all of the ads, companies who pay a fee and only use non-annoying ads are still alowed through the filter.
Blur by Abine
Privacy Badger by the EFF: Blocks advertisements and blocks trackers.
uMatrix: Blocks the loading of Javascript, cookies, css files, frames, and images.
NoScript: Blocks Javascript from running on the client computer.
Tor Browser Bundle: Version of the Firefox web browser that is setup to work with Tor by default with the most privacy friendly settings.

Google's Ad Settings: Opting out will prevent Google from showing interest based ads but will not prevent them from collecting data about you.
Your Online Choices: Provides a place where you can opt-out of behavioral advertising from participating companies.
Digital Advertising Alliance Consumer Choice Page: Provides one place where you can control your opt-out choices for Digital Advertising Alliance particiating companies.

The reasoning behind Web Cookies by Lou Montulli (the guy who invented web cookies)
Behavioral Advertising: The Offer You Cannot Refuse by Chris Jay Hoofnagle, Ashkan Soltani, Nathaniel Good, Dietrich J. Wambach, and Mika D. Ayenson.: Comments to the FTC for their Workshop on Cross Device Tracking. The report provides a nice summary of the issues around tracking. It also discusses the similarity to prior issues such as the do not call phone list.
GAO Report: Information Resellers: Report on the collection and sale of personal information amongst private-sector companies.
A Rewview of the Data Broker Industry: Collection, Use, and Sale of Consumer Data for Marketing Purposes (2013): Report on data brokers put together for the US Senate.
What is a Cookie Worth? by Arslan Aziz and Rahul Telang: Research paper looking at how effective targeted advertising is. They find that using privacy intrusive information can increase ad effectiveness by over 30%.