The Opera browser (and maybe other browsers) has a 'delete cookies on exit' feature. In other words, you can accept cookies when you browse to various websites, but these cookies are not saved between browsing sessions. This is an excellent feature, because you can make it a per-site setting. e.g I'll let my cookies persist for slashdot, or other forums sites, but amazon has its cookies deleted after every browser session automagically.
Another nice tactic with keeping facebook data segregated from cookie re-targeting is to have multiple browsers on your computer and dedicate one browser specifically for facebook. On my macbook, I use Opera for daily browsing, firefox for facebook, and safari for banking transactions (there isn't much rhyme or reason as to how I divided up browsers by browsing type, other than I like Opera's UI). Cookies are segregated, less vulnerability to cross site scripting, and this also forces be to copy paste urls for banking sites from emails into safari (since its not the default browser).