My wife just showed me her Droid 2 phone, and every open space on her screen was occupied by some icon. At first I thought she just had too many apps, but when she said she had no idea what many of the icons were, I discovered that most of them were ads!
It turns out there's something called "AirPush" that allows some apps to push ads out to your homescreen. Apparently there is some kind of financial feedback for them to do that, so that's why they keep putting them out there.
The trick to stopping them is to install a free app called AirPush Detector on your phone, and it will identify the culprits. Then you can either uninstall the apps, or if you really must keep them, do an AirPush opt-out request.
All of this is detailed in this nice article from last year: