Sandman, I have some tools I have created to help identify problem sites, but they are not for the typcial consumer.
However, you can setup IE to tell you when a site is a potential problem. I wrote
this up as an aid for IE users to help secure IE. There is a section which discusses how to handle the setup for security and IE does show when it is blocking cookies.
After that, you just have to know the domains which are bad, such as 'doubleclick.net'.
And Chairboy is right. Cookies, in of themselves, are not bad. Some sites have just abused them.