If you surf the web, you're going to see ads. That's a given, and there's not much you can do about it. What you can change is whether or not you see targeted ads. These are the ads that follow you from site to site and seem to know what you've been looking at online. It's creepy and very annoying.
Online behavioral advertising -- which is also sometimes called "interest-based advertising" -- uses information gathered through your browser about your visits over time and across different websites in order to help predict your preferences and show you ads that are more likely to be of interest to you.
For example, a sporting goods manufacturer might work with an advertising network that collects and uses online behavioral advertising information to deliver ads to the browsers of users that have recently visited sports-related sites, or an airline might direct ads to users that recently visited travel sites.
Advertisers record and store your online habits on your computer as a small file called a cookie. You can remove these yourself, but they'll just keep coming back.