I mean, it would depend what it was. A company that operates on cheap labour, trafficking, etc, no. A company that was homophobic in the 90's but isn't anymore and had made steps to improve, sure. Alcohol, yes. Conditions like alcoholism are driven by mental illness, poverty, poor education, etc, not the existence of advertising or whatever. Anything related to porn, no. Factories selling arms abroad, no.
I work in mental health services. Historically, mental health treatment has been absolutely barbaric, and I still think mental health services aren't fit for purpose and that a lot of unethical practices go on. But I'm one person, and I'm passionate about it, and I try my best to provide great care and compassion. I'm outspoken and will always advocate for better. There's not much else I can do.
It also depends on your circumstances- I will never judge anyone for doing what they need to do to survive. There is ultimately no ethical consumption under capitalism.
I think everyone can and should think about the ethics of their job, but no one should drive themselves crazy with it. We are all at the mercy of the system and we have to work to get by.