I've found EFF's Privacy Badger extension to work very well for blocking trackers. It learns who's trying to track you and either blocks them outright or just doesn't store the relevant cookies. If an ad doesn't use tracking, then it lets it through. There are occasional issues with it overzealously blocking CDNs, but you can override its choice in those situations.

It's browser-only at the moment, so not a device-wide solution, but works very well on the desktop.