If you're using a decent browser like Firefox, you can use a Javascript blocker like
NoScript. This will block all javascript code from automatically executing, which should stop even the most advanced pop-up advertising dead in its tracks.
Many websites rely on Javascript however for their own proper functioning, so with NoScript, you can enable it on a case-by-case basis. Mildly annoying at first, but once you've got all the sites you regularly visit "UnBlocked", there's little you have to do after that.
If you use Internet Explorer, well, that's you're problem. :p