There will be plenty different views on this, but I am quite security conscious and generally accept all cookies and never have a problem with that.
There is the option of using Firefox in private view mode, which deletes all history and cookies as soon as you close the browser. You can turn the argument round and say if you are not prepared to accept cookies from a site then maybe that site is not suitable for visiting at all.
More important to me is to keep windows / the browser / antivirus / anti malware (if you have it) software up to date.
You could also consider using OpenDNS if you are comfortable configuring your DNS servers.