jQuery Plugin Review - wrapper for jQuery UI's tabs
These are probably more comments, but I'll post them as an "answer", because it's easier.


Could you point out a source or an example for the bug with ids/classes containing . and :, because in a quick test they seem to work fine: http://jsfiddle.net/NSXLc/
I don't think you should use the document ready event. It should be the plugins user's choice when he wants to apply the tabs.
The way you are getting the id for the cookie looks dangerously wrong. You assume the selector is always a simple id or class selector and extending on that you assume, that the selector only matches one element and thus only one one set of tabs are initialized at a time. 


It's probably better to do something like this:

$wrap.each(function() { // In case the selector matches multiple elements
  var showEvent = null;
  if (this.id) { // only use cookie if ID is set. TODO: use className as alternative
    var id = 'dnnTabs-' + this.id;
    if (opts.selected === -1) {
      // ...
    }

    showEvent = (function(cookieId) { // closure for cookie id
      return function (event, ui) {
        dnn.dom.setCookie(cookieId, ui.index, 1, '/', '', false);
      }
    })(id);
  }
  $(this).tabs({
    show: showEvent,
    // ...
  });
});