"It should not be necessary to close the browser, particularly when the worst offenders are likely to be closed down pretty quickly anyway (say, by having found them through a search, had a quick look to discover it wasn't what you were seeking, and immediately backing out)."
The offenders do include sites I might well have been seeking my local paper's site which has a list of over 100 friends to whom it wants me to allow them to send data (on a totally illegal opt-out basis). Making the exclusion permanent also requires me to allow the paper to set their own permanent cookie.
It's easier to have a standard browser fairly tied down with NoScript etc. that gets used for most of the time including with, say, elReg and another which is just used as needed and then (satisfyingly) blow away whatever the bastards were up to.