There are three highly effective pieces of Software available to the 95% of the world on Windows operating systems for dealing with annoyances and intrusions:
Ad/Subtract PRO (manages cookies, ads, pop-ups, referrers, Java scripts)
Microsoft Anti-Spyware Beta (free download from Microsoft, regularly updates itself and scans your computer for spyware, trojans, worms, et., etc.)
Norton Anti-Virus or McAfee Anti-Virus for up-to-the-day virus and spyware protection.
On top of that - for the totally paranoid - one may use Adaware and Spybot - both highly recommended in the computer press.
I have all this stuff installed on my machine. The only one that runs in real time is Norton ANti-virus. I use the others periodically for spot-checks. They've never had to clean-up anything. I visit quite a variety of websites, but admittedly they are all quite "mainstream" - however - again to be totally paranoid - nothing is necessarily immune from external interference that propagates itself to other peoples' machines if not caught quickly.
This is all about risk and probabilities, which from my experience of the past 15 years is very low - and if something happens usually there are relatively painless remedies.
I have no way of knowing for sure, but I strongly suspect the number of real horror stories is an extremely small percentage of total internet usage however measured.