Don't follow the advice at the end. Ghostery is now owned by an ad agency.
http://lifehacker.com/ad-blocking-extension-ghostery-actually-sells-data-to-a-514417864
Use the Disconnect extension instead.
https://disconnect.me/
AdBlock slows down your browser and is not the best choice.
http://www.digitaltrends.com/computing/using-adblock-plus-with-firefox-may-slow-your-computer-to-a-crawl/
uBlock is a better alternative.
http://lifehacker.com/ublock-is-a-fast-and-lightweight-alternative-to-adblock-1625246461
But even these will not protect you.
You need to manage cookies that sites use to track you.
Get a browser extension like Better Privacy to delete supercookies.
Use search engines that don't track you, like DuckDuckGo, StartPage, or PrivateDuck.
Get a good VPN to mask your IP address, so that your IP address (web identiy) is masked to the websites you request. You browse through a secure tunnel, and even your internet service provider can't track your surfing.
For more advanced users:
Get a browser add-on the prevents surreptitious tracking info going to Facebook (even when you not on Facebook).
http://webgraph.com/resources/facebookblocker/
Turn off geolocation on your browser. It's supposed to improve your browser experience, but it can tell websites exactly where you are:
http://diveintohtml5.info/geolocation.html
http://techlogon.com/2013/04/23/how-to-disable-geolocation-in-ie-chrome-or-firefox/
Leaving this on defeats the security of a VPN. They'll know where you're browsing from anyway.
Use a browser add-on to block WebRTC.
http://thehackernews.com/2015/02/webrtc-leaks-vpn-ip-address.html
Leaving this on also defeats the security of a VPN. Your true IP address can be directly accessed.
Warning: You may find that some videos and other media don't work on some websites. Allowing yourself to be tracked is the price you pay to watch the video. Temporarily disable protection if you really have to see it.
http://www.scilogs.com/next_regeneration/the-invisible-web-undermines-health-information-privacy/