My situation:
I have multiple blogs, each in their own domain. I redirect /_blogs to the b2e blogs folder for all sites. Therefore baseurl = http://example.com/_blogs/

All cookies have a cookie_domain and cookie_path relative to that baseurl, and it doesn't work.

My proposal:

$cookie_path = "/";
$cookie_domain = $basehost;

or make this conditional on if the blog URL is != $baseurl