I haven't designed a cookie-based system myself, tourist, but some pitfalls are inevitable. Some users may block cookies, or clear them frequently. More complex, too, is deciding when a new visit begins. Users often don't behave in neat and predictable ways. They may open a page and go away for an hour. Referrer data may be stripped. They may visit your site, leave, and come back in via another link. Without ESP, you'll never know exactly what a user did or intended in every case, so you have to set some basic ground rules and hope for the best. I'd be interested, though, to hear from people who have implemented cookie-based systems. I'm particularly interested in tracking from referrer to purchase to help calculate ROI on ads.