AdMuncher intercepts *all* network traffic systemwide, not just your browser - thus it can hide ads that appear in 3rd party programs and whatnot. Whether or not this is worth the pricetag is up to you, personally I'm happy with AdBlockPlus (although I've started to notice cases where it slows down stuff considerably ).
As for not showing where you're coming from (blocking HTTP Referer) and other filtering tricks, you could check out Privoxy - it's somewhat Geekboy PowerheadTM, though
I love Ad Muncher, it's one of my favorite programs. Adblock plus is really good also, obviously. I have to somewhat disagree that Ad Muncher is expensive. First off, the author gives lifetime upgrades. Secondly, I still insist as I've done before, that you are not going to find any software under $20. There's almost nothing that's good, even tiny little shareware programs, that is that cheap. In fact, if I like the software and it's $20 or under, I just get it without thinking twice. I don't know what a lot of you are expecting. Software for $5? The only thing I can think of is iphone apps. But everything is over $20 these days. Either that, or it's free. There isn't much in the $1-$20 range.
 My bad! I didn't realize Ad Muncher had changed their policy over the years. They are now a subscription based registration (like antivirus programs). There's still the option to buy a lifetime license, but it's around $80. Yeah, that's expensive. I guess it's just up to you. It's unfortunate that they went that way because before, with the lifetime license, it was a fantastic deal. Still, in its defense, it is better than Adblock plus. How much better...not sure.