I use Junkbuster. For whatever reason, it doesn't bother me though I don't allow its cookies.

One fix for some sites (MSNBC IIRC), is to let the fuckers set a cookie. Then go back, edit it to something else, and change preferences to either let it out, only, or in, only. Reedit from time to time as you wish.

There used to be a bit of a push to share cookies among users. I just publicize the one registration site that I use: The New York Times: cypherpunks6:cypherpunks6.

Otherwise, just ditch the site. If you need content, get someone to send it to you out-of-band.