Can't use IE9..
because of extension problems, but:
1. Avast has script blocking - behavior based I think.
2. MVPS for Windows is a pretty thorough ad blocker, SpywareBlaster fair.
3. MBAM has an IP blocker that thwarts many ads the previous two don't.
I've not had a drive by in two years or so. Kind of like you said, once you give No Script permission, you just got to hope the site isn't compromised.