One thing you gotta remember is that that cookie is going to get shoved up to your server with every single request (images, css, ajax, everything). So if you end up putting 2k of stuff in there then it can really add up (esp. given that many clients have asymmetric connection speed). You don't want your tiny ajax requests that load 50 bytes of data sending the equivalent of 4 - 8k upstream because they are all sending a bunch of unnecessary stuff in your cookie. So, yes, it's good - but the key to it is keeping the cookie "slim".
(NB: couldn't see the presentation since I don't have flash, if they covered this, apologies).
Yes, this is why you load images and CSS from a CDN, and you can do JSON+callbacks instead of Ajax onto a big app server somewhere. (There's a gem for Rack, if you're on Ruby, to automatically handle the parenthesization.)
(NB: couldn't see the presentation since I don't have flash, if they covered this, apologies).