Privoxy ("Privacy Enhancing Proxy") is a vastly expanded version of Internet Junkbuster.
IJB was, back in the day, a very nice filtering proxy to stop unwanted cookies and banner ads.
However, many other filtering proxies (like Proxomitron for Windows) did their job more flexibly, and worst of all, IJB only supported HTTP version 1.0 - personally, I had a lot of problems getting Mozilla to work with IJB, at least with HTTP 1.1...
Privoxy is based on IJB, but also has a lot of new features, one of which is the almost complete HTTP 1.1 support. It's also able to change the page contents - this way, you can remove all sorts of nasty things from pages themselves, and it can be freely configured with regular expressions. All sorts of HTML and JavaScript "annoyances" can be easily removed. It's also able to stop GIF animations and remove banners based on size (web bug removal, too). Different kinds of configurations can be limited to specific sites. On technical size, the proxy is now multi-threaded, daemonizes better, and loads changes to configuration automatically. Also of note is the web-based configuration interface (similar to Webwasher in this respect).
I might even use this if Mozilla's own tricks wouldn't work well enough for me... =)
Home page: http://www.privoxy.org/