If you need to filter only certain sites, Mozilla Firefox addon called Block Site is great, it operates with blacklist or whitelist, so you can either block certain sites or only allow certain sites, good thing with it is that it completely blocks any download from sites you don't want to visit, so it can make surfing lot faster too, by blocking all those tens of tracking sites and social site scripts on every page. However it may not be quite what you are after if you are looking something like net Nanny but free as those work bit differently.
AdBlock can be of course used too for some extent to block some content from net, also Firefox Addon, that + element hiding helper is almost essential these days for me.
Also I have Greasemonkey addon for Firefox and there I have scripts that change / hide certain words that I don't like to see at all.
Then I use Script block and Flash Block addons too, those stop quite many of unneeded scripts that run on websites, I have had my share of web page ads that contain malicious scripts, luckily antivirus did work, but I thought I never take my chances with those anymore, so I restrict with these tools loading to site I visit only, any off site needs case by case permission to be loaded.
Most web pages would be more than twice of size if I would let all to be loaded, with my slow connection that is lot more time, so there is one advantage too, still not missing functionality of web pages so it is only win for me at least.
Sadly I can't tell much about stand alone filter software as I have not had need for those, these addons have been enough for my use.
