In the span of just a few comments in the thread below, I've seen people claim that the ethical problem is:

1. All ads in general.

2. Targeted advertisement, regardless of the privacy implications.

3. Data collection for targeted advertisement.

4. Data collection for anything.

5. Whether or not users consent to all of the above.

So I don't really think it is fair for anybody to insist that there is a single agreed upon actual ethical problem in web advertising.