When working on a project that requires cookies, you can run into problems where the cookie will be differnet if they accessed your site with a "www.mydomain.com" and just "mydomain.com".  You can fix this problem by setting the cookie domain to ".mydomain.com".

If you are working on your local machine, the cookie domain will not work.  It is best to check if you are on a local machine and if so, keep the cookie domain blank.  If you are not running locally, you set the cookie domain as above.