Here's an item to add to your cookie research. Since I have four hard drives, I'm currently working with OSX 10.7.4, but I also still have a fully functioning 10.6.8. The other two drives are for Time machine for each respective OS.
For comparison, I opened Safari on 10.6.8 and went to several web sites that I often frequent. I then ran MacScan and found 5 tracking cookies. I then rebooted into 10.7.4 and repeated the same action and found zero tracking cookies. Since installing 10.7.4 and its Combo update, I have not encountered a single tracking cookie when running MacScan. Is 10.7.4 that good or is there some other explanation? Yes, I did start by running MacScan just before the trial on each system so that I would be starting "clean."
