Hi Victor,
We don't make much use other than what is strictly required to provide the needed functionality, primarily for authentication and authorization of access to protected content by roles.
We don't make much use of cookies at all for unauthenticated users, I can barely think of any other uses we make of cookies. The jQueryUI skin has a theme picker dropdown that sets the jquery ui theme based on a cookie but that is certainly not intrusive and could be removed from the skin anyway. By default I think even unauthenticated users get a session cookie from IIS which would allow the use of session variables, but we don't really use session variables in mojoPortal. We do increment and decrement a count of sessions in the session_onStart and end events which is only used if you use the feature that shows how many users are online like on our community page. If there are other uses of cookies I can't think of them at the moment.
Hope that helps,
Joe