If you use Firefox, there are two privacy/security add-ons that I would recommend, with the natural proviso that I am no techie:
BetterPrivacy finds and deletes local shared objects placed on your computer by Flash (i.e. flash cookies). These are not deleted by Firefox even with the maximum privacy setting activated, and they appear to be able to track everything a normal cookie can. BetterPrivacy takes a few seconds to get rid of them every time you close Firefox. Again, you have to be careful with these if you like to store things like passwords or Flash game information, but it's worth the gain in privacy.