I got a little curious after reading this /. article over hijacking HTTPS cookies. I tracked it down a bit, and a good resource I stumbled across lists a few ways to secure cook
https://www.isecpartners.com/media/12009/web-session-management.pdf
A 19 page white paper on "Secure Session Management with Cookies for Web Applications"
They cover lots of security issues that I haven't seen all in one spot before. It's worth a read.
The web.config setting to control this goes inside the System.Web element and looks like:
<httpCookies httpOnlyCookies="true" requireSSL="true" />