This is a list of sites I've found so far that need to be able to set third-party cookies, otherwise site functionality is broken.
- www.blogger.com: Blocking the cookies breaks the CAPTCHA on Blogger comment forms, which prevents you from commenting.
- www.youtube.com: Blocking the cookies breaks embedded videos on some sites such as Amara.org ("This video is restricted from playback on certain sites"). Allowing the cookies makes the video work.