fnet, you can't pass cookies between domains... at least, not as a cookie, you can pass the info in the URL. Cookies are only sent back to the domain that sent them, or to any domains within the domain specified when the cookie was set. Ie, you can set a cookie on images.yourdomain.com with a domain value of "yourdomain.com" and it will be sent back along with every request to "yourdomain.com", where as the default action would be to only send it back with requests to "images.yourdomain.com". I tried once setting the domain to ".com", but that didn't work.
IGallery's new Truestats install has support for "xcodes" or 'Traffic Source Labels' which allow you to differentiate your traffic by link, but I'm not sure if their documentation discusses it. You'll see this feature on Truecash soon!
Threads like this are always an intresting read to someone who's written several affiliate programs...