I go to several sites that use cookies and haven't noticed any functionality that has changed or disappeared. I also run Cookie Patrol (part of Pest Patrol), ran the Microsoft Baseline Security Analyzer, and Spybot and it hasn't affected anything. You can easily override those settings, as you always have been able to, by going into the security tab of the browser settings.
I have noticed only a couple of pop-up ads (I was using Google Toolbar's pop-up blocker, but it's kind of unnecessary now so I turned off that feature) and I haven't had anything not working that should be.
Granted, I am behind the Windows Firewall, the Panda Firewall, and a hardware firewall. I am surprised everything is still operating fast considering all the layers, but security is part of my job and since I am a total geek, I do the same at home.
I have had only one issue in a corporate network environment (I believe I mentioned this before) but it was an easy fix.