I went from having near-paranoid settings (ask before accepting/modifying, originating website only, expires on session end, etc) to just allowing cookies for the originating website.
One thing has been annoying me. A forum I like to read is under the same domain as several others, all phpBB. Of course, the cookies clash, so I have to manually delete them every couple of days.
(The offending cookie is phpbb2mysql_t... Does anyone know if a simple search-and replace for a different cookie name through the PHP code for each individual forum would work?)