Most adds contain subliminal suggestions. Knowing that teens have hormones in fifth gear, advertisers suggest that somehow their product will make the user "sexier." Or, that this product is de rigeur--a necessity of current fashion. Teens need to reason through the suggestiveness of ads and ask themselves what the true value to them the product holds.
I would consider unethical advertising anything that makes someone believe that a product will be beneficial without explaining it could be potentially harmful. Of course, all advertising seeks to make their product look beneficial. A shoe advertisement might suggest their product will make the wearer run faster or become stronger. This may or may not be true but it is not necessarily unethical. A shoe isn't likely to cause harm to the wearer. Cigarettes, on the other hand, are known to cause harm. Alcohol is another good example. Advertisement usually focus on a group drinking large amounts of alcohol and having fun. They do not discuss the harm that comes with this type of behavior. They will say "drink responsibly" but they do not explain or show what this means. I think another prominent example might be supplements. Advertisements target young men who wish to be stronger or more muscular. They suggest that these sports supplements can provide the perfect body. They neglect to mention the possible side effects and long-term health ramifications of using such a product.
I think the best thing teenagers can do to protect themselves is to think for themselves. Know that an advertisement is just trying to sell a product. Don't let marketing make your decisions for you. Do some research on a product before you buy it. Don't be tempted by false advertising.
The best thing that teens can do to protect themselves against unethical ads is to use their brains. Unethical ads will try to persuade teens that doing something (like, for example, smoking) will benefit them in some way (like by making them seem cool). The best thing that teens can do is to look at the ads critically. They should try to determine what the ad is trying to make them think and they should think about whether they really believe that.