Windows only: Portable application Cookienator cleans up cookies from any of the major browsers, but instead of removing all your cookies, only removes the ones that are used to track you.
Once you've downloaded and extracted the no-installation-required utility, you can simply launch the executable to analyse just how many evil cookies are sitting around on your computer, and clean them up immediately. The options panel will let you choose which browsers to check, and it even includes the hard-to-delete Flash cookies. The utility can automatically clean your cookies when you login, or you could choose to only run it manually.
Cookienator is a free download for Windows only. If you'd like to just opt-out of the tracking mechanisms, you can use previously mentioned PrivacyChoice, which works the opposite way—it adds a cookie that tells advertisers not to track you.