The main reason we're considering using cookies is that some people have asked for them.
To explain a little of what they do for us here, they allow people to set preferences for viewing posts and have those kept each time they visit. For example, I have arbitrarily chosen to show the previous 5 days postings. However if someone visits often, they may only be interested in the past one day's posts while someone who comes once a week wants to see the whole week. With cookies each person can set the time frame default to suit their visiting habits.
As I have mentioned, I really don't like cookies myself and have taken steps to ensure that they CAN'T be set on my hard drive. I prefer not to use them but I also want to provide a forum that people like.
One additional option would be to have two parallell boards, one which uses cookies and one which doesn't. They would utilize the same database so you wouldn't miss anything chosing cookies or not.
Don