I hate to mention this, but the real privacy threat to your average law abiding american is not the the information on your system, but the data being gathered by your ISP. You may very well be surprised by how detailed they can be about a subcribers Internet usage, most notoriously keeping copies of all the e-mail you send and recieve. Their ability to snoop on their users is far more pervaisive then the info found in index.dat and cookie files, which often does not contain any personally identifiable information.
Still until now, ISPs have been a somewhat reluctant champion for their users privacy. It seems that they each fear the publicity repercussions if they are the first, or most notable, to let their users info out. They don't want to lose customers to the more "private" ISP.
However, ISP's reluctancy is fading pushed on by two key points. The first being the provisions in the recent Homeland Security Act that make it much easier for law enforcement to supenea ISPs for that info. The second is the continued gobbling up of "mom and pop" ISPs by the not-so-baby bells and other telecommunication giants under the guise of deregulation. These large corporate ISPs, most notably Comcast and SBC, are certainly more interested in "working" with our goverment, or possibly more dasterdly to me, selling that info to marketers and advertisers. Personal firewalls, pop-up killers, and Adware might do wonders for improving your system performance on the Internet, but they may be giving you a misplaced peace of mind in the long run.
So what can you do? First thing, as corny as it sounds, is to get and vote for candidates that are personal privacy advocates. Secondly support your local ISPs that are likely more customer sensitive, even though it might mean an extra 10-20 bucks a months. Lastly, do some research on movements to protect your Internet privacy. Indeed, there are hackers out there that are working right now to counter these advances. One that comes to mind off the top of my head for no reason in particular is the Hacktivismo group with their "peekabooty" and "camera/shy" inititives.