If you run the Firefox add-on NoScript, you can block Google Analytics as well as other tracking scripts.

You can whitelist any site you want, or temporarily allow scripts (a few retail sites are starting to require Google Analytics to complete a purchase). You can allow Facebook's own scripts to run only when you're actually on Facebook. Probably best to quit out of your browser and re-start it after you navigate away from sites where you've temporarily allowed scripts.

It takes a couple of days to get the hang of using NoScript, but anyone who's concerned about privacy should be using it.

You'll also want to periodically delete your Flash cookies.