On top of this however, there is another setting that is not mentioned, and that is RequireSSL. This will mean that the web browser will only send the cookie to the website if it is requested over SSL.
The idea of that didn't make much sense to me - since surely the user would need to purposely change it from https to http for this to be an issue, until you consider the following scenario (it still seems like a long shot, but hey):
1) You log in as as administrator on the HTTPS site.
2) The website sets a cookie on your browser with your administrator session token. This is transmitted encrypted for each request back to the website.
3) While your session is open you browse to dodgy website (or directed to it somehow, by the hacker)
4) Dodgy website redirects you to the same site you logged in as an administrator, but using HTTP instead of HTTPS. The site might throw an error at this point saying that it can only be accessed over HTTP but the damage has already been done as per the next point (there might be ways of hiding this web request from the user however).
5) Your administrator session token in the cookie is now submitted across the network in plain text.
6) Dodgy hacker now intercepts this through a man in the middle attack (using ARP poisoning or similar)
7) Hacker now has your administrator session token and can use this to browse the site as yourself.
Now, I think there are further protections the HTTPS site could make, for example, check that the I.P address & browser user agent remain consistent for a particular session - however it is possible to fake these as well.
Seems difficult to achieve, but hmm - if you have an HTTPS site, just put the following line in the web.config and you will be right (at least for all browsers that support it):
<httpCookies httpOnlyCookies="true" requireSSL="true"/>
This will set the options on all cookies leaving the site - or you can turn the settings on each cookie individually, or on the FormsAuthentication component like so.
It's an interesting example to think about however, as it gets you thinking about all things security after that.
[Update: It pays to also be aware of XSRF]