Russell, at SweetP Productions http://sweetpproductions.com, is the developer of Cookie, an outstanding $14.95 Mac app that lets you control and minimize the amount of hidden tracking that websites do.
The simplest setup is to tell the app to delete the cookies, flash cookies, silverlight cookies, and local databases for all non-favorite websites when you quit your browser.
For websites where you DO want to keep your cookie data (so you do not have to re-enter your username and password each time), perhaps Facebook and your blog, you simply check the "favorite" checkbox next to the website name.
There is also a handy pulldown menu added to your menubar to immediately wipe all non-favorite data.
There is a 14 day trial period so you can decide if it is your cup of tea or not, but having used it