This is going to be fun… not.
Ok, here is what is causing this new rash of cookie issues.
I've switched to Firefox for doing reviews from Mac IE. Mac IE did not support favicons so if the site didn't have one that the browser didn't go looking for it.
Firefox, like all modern browsers, does support favicons so if your site doesn't have one your 404 page is called up.
If your 404 page is a paysite then the free site is going to set a cookie for that paysite without the surfer going there.
EIther give your site a favicon or call up a 404 page that doesn't set cookies.
Anyway the no cookie rule on free sites isn't a new rule but I'm catching a lot more since switching to Firefox.
Sorry about being a pain in the ass about this but I really can't go looking to see if the cookie is just some harmless cookie or is being written so that the next time I go to the site something else nasty is going to get served to me since now it knows I've been there.