In FireFox you can run an add-on called CS Lite MOD which really helps to limit the information that web companies can gather about you while you surf.  It is highly recommended.

“CS” stands for “Cookie Safe”.

The main feature is “Deny Cookies Globally” in the CS Lite -> Options menu.

Then, website by website, you can turn them back on.

However, there’s a big disadvantage with this approach:

about 50% of websites will not work.  To make them work, i turn on Temporary cookies for that website.  They go away when i delete the window or tab.  Then i have to turn on Temporary cookies when i return to that website.  There’s an add-on bar icon for it

And you can select at which level to allow cookies for each website.

For me, the “Temporary” option disappeared on day.  Apparently that’s common, cuz on the CS Lite MOD page there’s a FAQ about it:

Menu item was not displayed
The lost menu item be found in a “Menu Items” tab of “CS Lite Options”. Menu item is restored with a “Add” button.