I've used the hosts file in the past to block adverts etc, but found by the far the easiest and most efficient way is to use Adblock Plus with Firefox. In my opinion, Adblock Plus is enough reason in itself to use Firefox !
Since Adblock Plus is periodically automagically updated, you never have to worry about the advertisers using different websites and whatnot, the signature file is watched and updated for you.
I suspect the only easy way of seeing which sites are being used is to look at the source code for the page itself (typically under something like "View Page Source"), but even then some stuff is likely to be hidden in obfuscated Javascript or Shockwave.