I use multiple cookies on my site for an enhanced user experience. For example when a user fills in a form, I set a cookie for each field.
When the user navigates to a different form on the site, the fields are then pre-populated.
In wp2.5 my cookies are deleted or lost or destroyed - in any case they are gone.
From what I can gather, cookies are handled differently in 2.5 than they have been in the past (I am upgrading from 2.0.x).