I'm running Tomato firmware on my router(ASUS RT-AC68P) using an adblocking script. It will resolve known ad servers IP's to itself and serve a 1x1 transparent png instead of the ad. It's a combination of a DNS blacklist and pixelserv. All the devices on my network are ad free.
I'd like an ad blocker which retrieves the ads as an unprotected browser would, but doesn't display them on the screen. That will stop some sites nagging me that I must turn off my ad blocker to see the content.
Since browsers do not like to display mixed content they do the job for you.
The downside of using a router for adblocking is that it's just too much of a hassle to maintain and in the long run breaks apart.
You can't whitelist sites which you would want to support, and if the site doesn't load up because something is being blacklisted it's quite a hassle to debug it not to mention make the actual change.
I did use to port the ADBplus list for privoxy and IPtables blacklist on my pfsense but it ended up making very little sense to do so, especially when ublock came around and pretty much made any browser performance / memory consumption arguments irrelevant.
OpenDNS has some functionality which allows you to also do some adblocking on your end, but then ofc you leak everything to them (and CISCO these days).
If I were going with blocking at the router, I'd recommending finding a router that has an accessible host file and add them there. Either that or ipset + iptables (not as recommended for ad blocking since you're likely blocking by hostname and not IP).
For example (should work on any router with iptables/ipset):
