Yes, this would make single-sign-on harder, but it would make it explicit and be worth the trouble so that when the user is talking to A, they're not being tracked by A's friends B, C, and D.
Of course, the big problem: the best browser is owned by the advertiser who stands to lose under such an arrangement. So at best you'd need Safari or IE to spearhead such a change. You can ape it with browser extensions, but without a big browser maker pushing for this kind of shift some sites would just break under such a model (particularly single-sign-on services like Gmail and Facebook).