LoneWolf,
I think there is a definite privacy risk involved with cookie use. I'm not paranoid or anything, but I think most of us know by now that advertising companies profile us, greatly through the use of cookies.
I don't have any problem with "regular" cookies, ones that are actually meant to make things easier (like the ones for W3T). It's the 3rd party cookies that I try and avoid like the plague. If you've ever set your browser to prompt you for cookies before accepting, you'll know what I'm talking about. You go somehwere like msn.com and see cookies being sent from all these different ad company domains. Hmmmm... I wonder what they're doing? I'm sure there's a "good" reason why those cookies need to be sent to me, right? I don't think so...
If anyone wants to see a browser with outstanding cookie filtering options, check out Opera 4.0. I swear by it now and wouldn't consider switching back to anything else. You can set it to block all cookies, block just certain domain cookies, accept only certain domain cookies, block 3rd party cookies, etc. It's just perfect.
I have it prompt me for all domains that I haven't already setup a filter for. When new domains come in, I set them to either be accepted or blocked from that point on. The first week or so of doing this, I got prompted all the time, but now 90% of the sites I visit regularly have been recorded one way or another, so I rarely get asked about cookies now. And of course, every ad company's domain I've ever come across has been blocked--if you do just that, you'd be amazed at the amount of cookies that are wiped out.
Even without the cookie filtering, Opera's a great little browser--speedy too.
