If you create a host with an underscore in the domain you are unable to set cookie. I created one with the name site_v1.domain.com and any attempt to set a cookie was unsuccessful, I then used the IP address instead and it worked fine.

I then tested this on a different system with the following code.

<?php

setcookie('name', 'value', time()+3600);

echo '<pre>';
print_r($_COOKIE);
echo '</pre>';

?>

Yes i did reload the page. I've tried php 4.2.3 and 4.3.0-pre2