Testing Privoxy on Volla…
Installed everything from Chum (Privoxy, AdBlock configuration, Docs, http server and tools) and rebooted. It installed 2 new icons on app grid, and Privoxy Config did nothing and Privoxy Toggle showed something about a proxy 127.0.0.1 port 8118 not installed or so.
After I entered this proxy into Settings/System/Mobile Network/Advanced/Proxy 1, the 2 new icons on app grid show:
Privoxy Config: Privoxy Menu (6 items) + Support and Service.
Privoxy Toggle: Privoxy is enabled
My observation: clean sites load much faster but ‘less clean’ ones showing no images now. So for me this means that Privoxy works…
working and faster: Youtube, orf.at, de.m.wikipedia.org, hpmuseum.org, hpcalc.org
Not working: la-palma24.info - reports: Unable to connect, Browser can’t establish connection to googleads.g.doubleclick.net, that means that it works as it should. 
edit: images come after two minutes.
Have to say, it’s not sooo difficult.
I’m curious and will report if some annoying effects will occur.
Thank you @nephros ! And Thank you @Novacane for the list!
edit: installation also successful on Xperia 10. Thanks again!
edit: Blocking does also work if phone is used as mobile access point. Annoying advertisement also filtered on laptop connected to Hotspot. Pages load noteable faster but sometimes also content is missing.