I agree that cookies raise a privacy issue. I routinely clear cookies, keeping the ones like from PPrune that retain things like passwords, etc.
One other thing - with Win 98 and 2000, I routinely cleared temp internet files which build up over time. However, with Win XP, I haven't found any temp files. Does Win XP save temp internet files? Also, how can you check what's been recorded in the Index.dat files? There is altogether too much info being recorded by commercial software these days...