A lot of the time it's a big pain to get it working right (say, to watch a video on a news site), but that's simply the price I have to pay in today's web to retain at least a bit of privacy and security.
If anyone wants to make a neat extension, it seems like all these extensions could be combined into one with a slightly better user interface. If you want to make it really spiffy, the black/white listing for these could be shared in a distributed hash table with some sort of voting/trust mechanism.
It seems that the more locked-down hardware manufacturers may have accidentally stumbled upon a kind of end-user workflow that may actually work for controlling what they want to share with the web!
https://www.requestpolicy.com/ and https://addons.mozilla.org/en-US/firefox/addon./RequestPolic...
It's usually obvious to spot the CDNs and avoid the spies.
It breaks a lot of things initially, but after a while, the sites you use often are properly whitelisted, and it isn't a pain anymore.