2. Conflict of interest. An advertiser's job is to get me to buy/view/etc something, often with misleading statements. Whether me doing that is actually in my best interest isn't factored into the equation.
3. Annoying. 'Shady' ad practices do and will continue to exist. In any case they take up screen real estate.
4. Advertisers are compiling huge databases that they intend to fill with all sorts of intimate information about me. What I like to read (what I read), who I talk with, what I talk about, etc. These databases are ripe for all sorts of abuse, both outside and within the domain they're being compiled for. (Great example: http://blog.echonest.com/post/27047918145/musical-taste-poli...)
5. Another conflict of interest is between me and the service itself. When the service is mainly powered by ad revenue it means that anything that's good for ads is in the interests of the service, even if it's bad for me. (Eg. Taking up more and more screen real estate, sandwiching ads in between the 'legitimate' content.)
For a start.