http://www.zdnet.com/blog/storage/opt-out-of-60-ad-networks-in-3-minutes/1145
The issue of privacy is sometimes recognized as being a valid concern, but this quote from the above article is a good argument:
Students of history know that activities acceptable in one decade can invite ridicule or worse in another. In the 1940s the Soviet Union was our ally in World War II. We sent billions of dollars in aid and they bore the brunt of the battle against the Nazi war machine.
But a decade later congressional committees were hounding those suspected of being too sympathetic to the Soviet Union. Careers were destroyed, huge legal bills incurred and lives were disrupted for years.