You don't need Opera to be able to decide which sites can set cookies for you. See the
junkbuster homepage for a GPL:ed program that works as a proxy. As default junkbuster blocks all cookies, but you can put interesting cookie-depending sites like openacs.org in the config file so they work as usual. Then if you don't want to see banner ads, do a search on some
search engine for "junkbuster blockfile", which makes junkbuster block all requests to sites in the blockfile (like *.doubleclick.com).