I like the RequestPolicy add-on
"Just add google-analytics.com to HOSTS as 127.0.0.1 and you don't have to worry about anything, no need for a plugin."
I use RequestPolicy <https://addons.mozilla.org/en-US/firefox/addon/9727/> to inform me of, and allow me to selectively block, various things including Google Analytics. Although RequestPolicy isn't really for the casual Joe/Jane Average Surfer and it's not something you'd want to install on your grandma's computer ;) because she'd just complain about "all the internet is broken" or whatever.
However, for people who want to know what their browser is *really* connecting to when it visits a particular website, RequestPolicy is quite informative. It can also be annoying to deal with (but that's only because so many sites these days secretly connect you to a bunch of other sites), but I find it useful and I'd rather *know* what's happening, even if it means I may have to make a few extra clicks (or lots of extra clicks) when visiting websites I haven't been to before.
I didn't know about the host file thing that "46Bit" and a/c mentioned, but that sounds useful too. The hosts file is one of those mysterious things I've heard shadowy references to for years but never really understood what it was for or how/why to use it. So, thanks for the info :)