Most people don’t realize that cookie clearing isn’t an all-or-nothing process. Individual cookies can be deleted, allowing some persistent data to remain. That’s generally too much to explain to the average user so for years people have just been told to clear them all as a “good enough” approach for the masses.
When Adobe updated Flash to version 10.3, they integrated with browser cookie deletion functions (previous versions maintained their persistent data regardless of browser cookie status), so that clearing cookies also removed Flash save files. To keep your saves, you need to either back up and restore your Local Shared Objects (LSO files have a .sol extension) or avoid deleting them in the first place. This particular change really hit Kong players hard when they suddenly found all local saves had vanished.
Some people may ask if all the hassle means it’d be easier to just never clear cookies in the first place. That’s up to you. Cookies are an inherent security risk, although the danger is a bit exaggerated by some people who claim they are viruses (fact: cookies are text, not executables).
If you ever make online purchases, you’ll likely want to clear your cookies frequently. Odds are that unless your browser security is tight, you’ve got personally identifying info (real name, address, credit card number) stored in a cookie, just waiting to be read. Under normal circumstances, this information will not be visible to sites other than the one involved in the transaction. However, viruses and spyware are notorious for breaking down walls to access things that are normally blocked. Some infections are created specifically to dig into cookies and mine for data.
From a non-security-related standpoint, browsers have a limit to cookies. Have you ever tried to tell a site to remember your info, but it never does? If you’ve hit your browser’s cookie limit, new cookies will not be stored. Browsers have different limitations, but they all enforce a cookie limit per-domain and overall. Clearing some cookies may make room for new ones.
There are more issues, but I’ve got food waiting for me and someone else probably can fill in if necessary =p