In keeping my wife's Windows machine up and running, I've had to deal with lots of malware and must run a couple of programs to keep it clean, as no single application seems to suffice.
I've discovered that cookies tend to be treated as potential problems so I dump 'em when I can.
Recently, guru Seth Godin linked to a marketing industry site that allows users to opt out of getting their cookies — in aggregate, no less. Seth observed that it's hardly publicized, so please allow me to share the link.
And I agree with Seth; marketing needn't be sneaky. Shouldn't be sneaky, in fact.