Okay, cookie madness - it's making me paranoid!?

Right, so I do a lot of interet wandering, just jumping around random sights looking stuff up. History, religion, philosophy, politics, counter-culture etc, and sometimes I end up on reasonably dodgy sites, simply because there are a lot of angry little anarchists/satanists/chan kids etc out there, and Google doesn't discriminate. Today I was playing with some security settings on my laptop (really good 15-min PC security check from Johnny at johnny.ihackstuff.com well worth checking out if you 'aint seen it - really basic, but good for the computer-illiterate) and decided to check out my cookie cache... man, the junk in there! I cleared it out yesterday evening and there's already cookies from adverts I didn't even click on, and some seriously weird sites and a lot of chan sites besides that. I know I can turn on a thing where I have to manually accept all cookies, but that's gotta add a lot of time to a browsing session! Any ideas or tips & tricks?