To be honest there a loads - all of which seem to do a reasonable job. There are those that are up-dated on a regular basis (with new websites) and those where there is a default list and you just add as required. I would recommend NOT using the content blocker in IE as it causes more problems that it prevents.
I use net-nanny which while it isn't perfect has a few nice touch's (e.g. it sends a summary email to you listing any infringements) but you have to be careful in the setup of these programs or you can end up blocking everything.