I decided to block access to certain sites for just one computer on my LAN, let's call the computer Adell.
I have a WRT54G router running OpenWRT and I have another machine running privoxy. How to setup transparent proxying?

On the router:

iptables -t nat -A PREROUTING -p tcp -i br0 --source Adell --dport 80 -j REDIRECT --to-port 8888

Port 8888 is tinyproxy which is redirecting to the privoxy daemon on the other machine.
/etc/tinyproxy/tinyproxy.conf:
upstream privoxy_box:8118

And that's all there is to it.