One thing that I've tried to do is talk about media issues, and the discrepancy between media and real life, from an early age. Whether it's violence, or marketing, or stereotypes, or whatever else, I think the key is to discuss openly and emphasize over and over again that media is a distorted view of reality, even "factual" media like news.
Of course, that's my perspective from an open-to-media household; I'm sure you'll get good responses from media-free people too. I think whichever way you go on this issue, it's a good idea to teach media awareness, because, as you mention, they will be exposed to it at some point in some way or another, hear other kids talking about it, etc. So with the violence issue, you might talk about the idea that violence is funny and cool, but in reality, it's not, and things like that.