Because these advertising agencies may be using web cookies to track your visitor's surfing patterns, in a bid to serve them ads based on their interests, and your visitors might have a problem with that.
While you may argue that this is a good thing and might eventually lead to more clicks and better ad revenues for you, your visitors might consider this to be an infringement of their privacy and wish to opt out of any such tracking.
1. A statement that you respect your visitor's privacy.
2. A statement that you partner with third party advertisers to display advertisements on your blog/website. Include a list of such advertisers.
3. A statement that you incur certain costs to run a blog (domain, hosting, opportunity cost of your time etc) and that advertising helps you recover such costs and earn some reward for your efforts. (OPTIONAL)
4. A statement that some of the advertisers (mentioned above) may be using web cookie to track and analyse their (your visitor's) surfing behaviour in a bid to serve them ads more suited to their interests.
6. If your advertiser is a member of the Network Advertising Initiative, you may also direct visitors to their opt-out page; which makes opting-out a lot simpler for them.
7. A statement that your visitors may also disable cookies by following specific browser options.
8. A disclaimer that you have no access to or control over the cookies served or information collected by the third-party advertising agencies.