1) To be able to choose the exact host/subnet/domain that an application can access with a good UX
2) Have someone else curate a list that I subscribe to that handles most cases
3) Work on desktop and mobile
For choosing the exact host/subnet/domain on a per-application basis, the best UX I've seen on any platform is FirewallIP[1], the unmaintained software on a jailbroken iPhone. So many desktop solutions[2] only let you choose Allow everything or Deny everything, Little Snitch and Windows 10 Firewall Control[3] are exceptions, but even they are limited.
The curated list option should be easy enough to support on most platforms. Easylist has shown how well it can work on the browser when combined with uBlock Origin. Install it for someone who is technically naive and they'll just see no ads with no negative experience.
The mobile platform is harder to support as under Android you need to root the phone to get access to the underlying iptables firewall with something like Afwall+, or you run a fake VPN back to the device and filter there which is prone to failure (is it working? has it stopped itself for some reason) and has less flexibility. Under unjailbroken IOS, products like Surge, Potatso2 and Shadowrocket run a local proxy that is similar to the fake VPN under Android, but requires manually editing a text file for configuration and seem to be designed to get around the Chinese internet restrictions rather than privacy.
[1] http://r-rill.net/FirewalliP7/FiPDepiction.html
[2] Glasswire on Windows, Douane and OpenSnitch on Linux, AFwall+ on Android