You have several options. Let me show some in order of my preference:
1) create dedicated folder for each domain, your server serves. Then you can also configure each in different way.
2) set cookies correctly. Browser will append cookies only to requests for correct domain - so don't set cookie domain example.com
but use www.example.com
and do domain name normalization of your requests - so redirect permanently all requests to http://example.com
to http://www.example.com
3) unset specific cookie using mod_rewrite
using the CO
switch. For more details see this question.