I really like the new feature in IE9 that allows you to track the cookies that sites are trying to place on your system. I'm not sure how usable this will be over the long term but it's certainly interesting to turn this feature on at least briefly to get an idea of the cookies being laid down by the sites you visit.
You'll then be prompted whenever a site you visit tries to drop cookies from a third party site and you can choose to allow or block the cookies.