There's some interesting discussion of this on the Mozilla bug-tracking software, in this request to disable 3rd-party cookies by default in future versions of Firefox. One quote from a Firefox dev:
... in practice [disabling third-party cookies] doesn't help all that much. Advertisers have long gotten around this through redirects and hosting ads in frames. You can easily test this by setting the "no 3rd party" pref and the "ask me about cookies" pref and see all the requests you get for advertizer's cookies anyway. Or just check your cookies and see all the advertisers in there that you have never directly visited.
Withholding cookies during redirects or from frames breaks lots of legit sites, so the "no 3rd party cookies" option is mostly a feel-good measure but doesn't accomplish much.
However, Safari (at least on mobile) disables third-party cookies by default, and the internet doesn't seem to be broken from my iPhone. (Although there are ways for advertisers to get around the restriction, and even Google has been caught doing so.)
