Not unique to Drupal, but common to any that use cookies to maintain login session information. I’ve met it before, but I just lost an hour and I have a brick shaped imprint in my forehead again, so I thought I’d drum into my head … don’t use underscores in domain names!
So often when using subdomains for setting up dev sites etc., it’s so easy to use site_dev.domain.com or similar. But, underscores are not valid characters in domain names.