uTorrent has made advertisements unremovable with its latest release for Mac (1.8.6): they appear in the left sidebar and there’s no way to remove them, even by editing the advanced preferences.
Luckily, we can simply block the uTorrent ad servers at system-level, editing the hosts file. Using the free network analyzer Wireshark I easily discovered which servers uTorrent connects to, to fetch the ads.
To block those ads, first quit uTorrent. Then open the /etc/hosts file with your favorite text-editor (you’ll need root privileges) and append the following lines:
# uTorrent ads
Update: if you need help editing the hosts file, please read this guide on OS X Daily.
Next, trash the ~/Library/Caches/com.bittorrent.uTorrent folder in order to get rid of any cached ads.
Now restart uTorrent, et voila: the ads are gone!