I know alot of people who are doing this using .htaccess files, some of them even stuff the cookie before they get to the site: ie. ThisIsMyMaskedLink.com has a .htaccess stuffing the cookie, for, say, eBay, and then the link redirects straight to eBay.com.
In the case of eBay, this is illegal as it is against the TOS you agree to upon registration.
Some of the more "shady", if you will, companies allow this, 90% don't.
Like everyone else says: Just check with the company first.
Then again, remember, it's only illegal if you get caught :hehe: .. but I didn't that!