Mozilla keeps a record of the internet sites that CAN and CANNOT store cookies on your computer. I have Mozilla set so that any time a website wants to set a cookie, a little window pops down and asks me if I want to allow the cookie to be set. Declining the cookie is usually not a problem, but some sites absolutely require that a cookie be set. In that case, you can delete the cookie after the session, or tell Mozilla that all cookies expire in N days, in which case you set it to N=1, and it's automatically deleted the next day. Mozilla will allow a website to request setting a cookie twice, declining both times with REMEMBER checked flat out refuses to even present you with the question. Mozilla rejects the request every time after that with a "NO". If you want to change your mind, you can go in and edit the database of sites that can and cannot set cookies. The cookies are stored in a text file in your user folder here:
/Users/user_name/Library/Mozilla/Profiles/default/sltgjrb.slt/cookies.txt
Never delete the file outright, just go into Mozilla and edit the file the right way.
There are sites that I allow to set cookies, like MacOSX.com, Slashdot, my bank, and Netscape.com (my personalized startup page). Other sites that require a cookie have the cookie deleted the next day. This way, every time you visit the site, THEY have to set a new cookie. For all intensive purposes, you're a new user to them every time, especially if you have a dial up connection since your ISP assigns a new IP number whenever you connect.
If you're really paranoid, create a user account in Mac OS X with a weird user name like, d5q2Z7X1 or ZXPTJJS and cruise the net with Mozilla under one of those names. Then go to anonmizer.com and see what it tells you. If you get the user name back "d5q2z7x1" or "ZXPTJJS", the only thing they are able to trace is your IP address, which ultimately comes back to YOU with a little digging. They will still get the bogus user name though.