yes, they do set a cookie, go have a look on your C drive (holler if you don't know where to look, and please mention what browser you're using)
the only thing stored in my youtube cookie (i do not sign on when i visit) is data in the following categories:
- VISITOR_INFO1_LIVE
- LOCALE_PREFERENCE
- GEO
you do realize that youtube lets you vote on thousands of images, and yet there is a limit to both the size and number of cookies that your browser will support