Stackoverflow itself expains it very well on its static content site.
When the browser makes a request for a
static image and sends cookies
together with the request, the server
doesn't have any use for those
cookies. So they only create network
traffic for no good reason. You should
make sure static components are
requested with cookie-free requests.
Create a subdomain and host all your
static components there.
If your domain is www.example.org, you can host your static components on
static.example.org. However, if you've
already set cookies on the top-level
domain example.org as opposed to
www.example.org, then all the requests
to static.example.org will include
those cookies. In this case, you can
buy a whole new domain, host your
static components there, and keep this
domain cookie-free. Yahoo! uses
yimg.com, YouTube uses ytimg.com,
Amazon uses images-amazon.com and so
on.
Another benefit of hosting static components on a cookie-free domain is that some proxies might refuse to
cache the components that are
requested with cookies. On a related
note, if you wonder if you should use
example.org or www.example.org for
your home page, consider the cookie
impact. Omitting www leaves you no
choice but to write cookies to
*.example.org, so for performance reasons it's best to use the www
subdomain and write the cookies to
that subdomain.
Originally from Yahoo.