Mozilla Firefox has a wonderful plugin or Addon gallery that allows anyone to have additionally functionality to surfing the web. Often this is used for notifiers for Twitter, Blog Subscriptions, Yahoo! Answers, Yahoo! Mail or GMail Inbox. 

There are security specific Addon's for Firefox that help protect people from exposing their login information when logging into bank sites, social media or webmail like https-everywhere (see more details here).
Google's Chrome browser also has something called Extensions that do the same thing as Mozilla Addons, but for Chrome.

Internet Explorer has been trying to offer these technologies in their newer browsers, but have been lacking in their overall security features. Recently Microsoft introduced InPrivate Filtering which is a type of protection against known bad websites. It allows you to build your own lists of sites that you want to block or allow when using Internet Explorer. This was a great leap in security for Microsoft browsers and as of today, if you use Internet Explorer 7 or 8, you can download pre-built lists (like the one offered by John Delizo) tthat can be imported directly into the browser under Tools -  Manage Addons.
Microsoft recently released Internet Explorer 9, and with it has changed the technology to block or allow web sites. They are trying to get closer to the design of Mozilla's famous blocking Addon called AdBlock Plus. If your machine is running windows XP Professional, this does not apply. For all machines Windows Vista or Windows 7 (or Windows 8) , you can no longer use Internet Explorer 8 InPrivate filtering to import block lists, but you can use a method more similar to Firefox called TPL lists. TPL lists are well described in the website PrivacyChoice. They also include a great FAQ about their list and the overall technologies.
(Credit: thanks for lifehacker for the image!)