I have it set by default to "Accept cookies only from the site I visit". However, this is stricter than FireFox's definition of "No third-party cookies". How, I don't know. This is a known problem on the Opera forums, but I tend to agree with Opera's definition.

It does cause problems, though. Probably one of the biggest ones is that Ebay uses PayPal's Omniture cookies to pass your session over when paying. Very very sneaky and I'd be surprised if Opera hadn't already contacted both companies about this abuse of "third-party" cookies. Fortunately, you only have to let them in once and it will work until you throw away the PayPal cookies. Took me a while to figure that one out.

Wade.