We\'re building a Facebook application here at work, using the iframe method. For the application to work, it needs to set cookies from within the iframe.
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One technique is to do a background POST to a hidden iframe on the initial page load using JavaScript. As soon as the POST response successfully returns, you'll be able to set cookies. This removes the need to affect user experience (an interstitial to force interaction is another technique). Some more thoughts and sample code here: http://gist.github.com/586182