Ads on the web want to track that you saw it, clicked on it, on which website you saw it, when, with which browser, which OS, which was the previous page you visited, what site you are used to browsing, what you purchased, where you live, what is your sexual preference, ... and nowadays they can and they do :/
There are many sites that I like and would happily unblock their ads to support them, but I often don't because they use ad systems that want to spy on me.
The main problem with ads on the web is not that they are annoying (like on TV for example), it is that they are spying on you.
