I've seen behind the scenes of analytics, user tracking, and ad conversions. On one hand, the technology is impressive. On the other, it's fairly creepy how much data is actually collected on browsing habits.
So, a quick guide for the paranoid:
1) Install ghostery & uBlock Origin browser plugins. This will block most ads and known trackers.
2) For any online accounts (facebook, google, etc) go into the privacy settings and disable any personalization settings for advertising. Also disable any search engine availability settings. And also disable search history for search engines (ie, google). Or, use the duckduckgo search engine, which is supposedly a bit more private than most other major search engines.
3) You can enable the "no tracking" browsing feature in most browsers now, but it's hit or miss as to what websites actually honor it.
4) On smart phones, get rid of the facebook app. There's a lot of tracking built into that thing. It's also good at draining the battery--you will notice a big difference in battery life by uninstalling it.
5) Disable GPS on smart phones. Lots of apps and websites fetch location data all the time--more than they actually need to.
6) On smart phones, and specifically android, go into the advanced wifi settings and disable the setting about letting google location services scanning wifi networks.
7) Be wary of what open wireless networks you connect to. The organization providing wifi access can easily monitor and log which wireless clients visit which websites, if they so choose. Not that every organization does this though--just that the capabilities are always there.
For the extremely paranoid, there are also VPN services and the anonymizing Tor browser. If you open an account with OpenDNS and use that as your DNS server, there are some web filtering capabilities available.
After that, if you still want to step it up a notch, you can always bury your digital devices in concrete to avoid any and all potential tracking methods of your internet usage.