After years of putting it off, I finally got around to setting up a Pi-hole. This is not going to be an in-depth guide, just a quick and dirty set of pointers, because others already did the heavy lifting (for the benefit of all of us).
What you'll need:
Raspberry Pi Zero 2W Starter Set
Mininum 4 GB MicroSD card (I used a 16 GB one)
Simplest Pi-hole tutorial (YouTube)
Optional:
Random Ethernet-USB adapter
USB (female) to Micro USB (male) adapter
I found that the Wi-Fi-adapter (not the connection) was unstable (even while sitting next to the router) - when it connected in the first place. And it didn't even connect roughly 50% of the time after a restart, but YMMV.
When using an ethernet connection, Wi-Fi can be disabled with the following command (connect through SSH): sudo rfkill block wifi