Have you looked at the SquidGuard addin ? It has a half dozen seperate categories of things to block, each in their own directory. The list of blocked sites is updated on a daily basis. There are also two seperate categories for sites you want to block manually and sites you want to always allow. You can block or allow based on domain name, IP address, URL, and regular expressions. I've used this package for ad and popup control since SME 5.1.2.
The package is basicly just configuration control for the Squid transparent proxy already installed and in use on your SME gateway.
DansGuardian is also supposed to be very good too but I have not used it myself.