Or serve the untrusted content from a sub-subdomain, e.g. "foo.bar.CDN_HOST.com", so that you could only bomb bar.CND_HOST.com and not the entire domain
That would be nice, but it would have a lot of ramifications. Before setting the cookie, the browser would need to know if it's allowed, so presumably it would have to load some file. Perhaps this could be done in a manner similar to CORS requests