Ok, so one more reason to hate IE: Internet Explorer fails to hold cookies when viewing URLs that have a sub-domain with an underscore. I found this when the project I'm developing just refused to hold on to a session when viewing the site from Internet Explorer. Almost all of the server-side technology I was using was new to me, so I lost a full day trying to figure out if it was ColdFusion 9, IIS7, or the ColdFusion on Wheels framework that was breaking the sessions before I found out that the IE browsers choke on underscores. FireFox and Chrome didn't care about the underscore, but IE6 through IE8 lost their session because they couldn't hold onto the cookies for the site.
So, if you're loosing your sessions in Internet Explorer, check your URL. I'm not sure if there are other characters besides an underscore that would cause the cookie loss, but it wouldn't surprise me.