WordPress > 3.0
On login, wordpress uses the wordpress_[hash] cookie to store your authentication details. Its use is limited to the admin console area.
After login, wordpress sets the wordpress_logged_in_[hash] cookie, which indicates when you’re logged in, and who you are, for most interface use.
WordPress also sets a few wp-settings-{time}-[UID] cookies. The number on the end is your individual user ID from the users database table. This is used to customize your view of admin interface, and possibly also the main site interface.
Non-Version-Specific Data
The actual cookies contain hashed data, so you don’t have to worry about someone gleaning your username and password by reading the cookie data. A hash is the result of a specific mathematical formula applied to some input data (in this case your user name and password, respectively). It’s quite hard to reverse a hash (bordering on practical infeasibility with today’s computers). This means it is very difficult to take a hash and “unhash” it to find the original input data.
WordPress uses the two cookies to bypass the password entry portion. If WordPress recognizes that you have valid, non-expired cookies, you go directly to the WordPress Administration interface. If you don’t have the cookies, or they’re expired, or in some other way invalid (like you edited them manually for some reason), WordPress will require you to log in again, in order to obtain new cookies.
Commenters
When visitors comment on the blog, they too get cookies stored on their computer. This is purely a convenience, so that the visitor won’t need to re-type all their information again when they want to leave another comment. Three cookies are set for commenters:
comment_author_{HASH}
comment_author_email_{HASH}
comment_author_url_{HASH}
The commenter cookies are set to expire a little under one year from the time they’re set.