When I was on 1.5.1 it worked just fine. Now on 1.9.1, customers started to report login problem. So changed settings around and clear cache and browers' cookies each time to test across platforms. And it seems cookie domain setting is the one making difference.
When I have it as " .www.mydomain.com", I cannot login in IE; but when it is null, I cannot login in chrome. FF works either way.