When setting multiple cookies in a script, only the last cookie remains. I tested it by:
  setcookie("one", "1");
  setcookie("two", "2");
  setcookie("three", "3");
Then I fetched the script via telnet to see the headers, and only one header was set:
  Set-Cookie: three=3
I tracked it down to ext/standard/head.c, end of the php_setcookie-funkction.
There, sapi_add_header gets executed. sapi_add_header is a macro to sapi_add_header_ex with the replace-bit SET!
That means, every cookie gets overwritten by its predecessor. In fact, only the last cookie remains.
I fixed it by exchanging the line
  return sapi_add_header(cookie, strlen(cookie), 0);
with
  return sapi_add_header_ex(cookie, strlin(cookie), 0, 0 TSRMLS_CC);
After compiling the patched PHP, setting multiple cookies succeedes.
Is that a bug in PHP or was it written on purpose, that only one cookie can be set?
I could have changed the macro in main/SAPI.h, but the macro is used in ext/zlib/zlib.c and ext/session/session.c and I didn't want to confuse them.