Since ads are seen more by newer users we can't rely on long time users to report them before the advertisers have benefited from them; so a way for users to directly report ads would mean they spend much less time up on the site. Ideally I'd like to make it so that advertisers realise that trying to game Stack Overflow is counter-productive.
I think facebook has a good implementation of this: alt text http://img138.imageshack.us/img138/3422/facebookads.png
Note that you can remove the ad by clicking the 'x' (replacing it with a new one, or eventually a "Find your Gmail friends" message that can't be removed) and there are several reasons you can report the ad for. There is also a "like" feature, which might provide useful stats to advertisers.
It might also be useful to have a Sponsor Gallery so that everyone can see what ads are appearing on the site.