I have Firefox set to reject all cookies (except for sites I manually add to Exceptions). This works surprisingly well and I rarely need cookies enabled to surf the web. For the sites where I need cookies, I add them to the exceptions list in Firefox. Those cookies gets deleted when I close the site tab (using the Cookie AutoDelete extension).

This works very smoothly but I did have the problem of Google popping up dialog boxes I needed to accept every time I used them for a search). This extension got rid of that dialog box which is wonderful since it was pushing the results down when it loaded using Ajax a second after the search results.