never experienced that myself
I hear stories about ad tracking, ads following users around and stuff. For about the past 8 years or so I've had firefox prompt me for each and every cookie, checking the permissions.sqlite database I have 7,103 sites that I have banned cookies from in my browser, and about 450 that I have accepted.
I used to work for an ad targeting company a few years ago that tracked folks based on cookies. They were pretty above board, no funky stuff.. If you opted out they didn't track you(except once I remember a bug being reported and the developer told me he had it fixed the same day it was reported).
It's been pretty effective...and is interesting sometimes to see the sheer number of cookies that some sites try to set, in the off chance I go look at gaming sites I just flat out disable all cookies there's just so many.
I could use ad blockers and stuff but for some reason never did use them.