One issue we ran into was: So our site runs behind a load balancer. We receive HTTPS connections into the load balancer but the internal connection between the load balancer and the actual websites was HTTP only, so when we tried to set SECURE on the cookies, the application framework we were using trying to be "helpful" unset the SECURE flag because it detected that the connect from its perspective was not secure (even though from the browser's perspective it was).
Keep in mind that the connection between load balancer and web-servers was never on the internet, in fact it never left a virtual machine farm (a single room essentially). So it is justifiable doing HTTP internally and HTTPS externally (and also makes certificate management easier).
We finally had to hack away a bit on the framework to get it to set secure regardless of the connection type.