[megaman821]

I just throw away the default config and write a vcl to do what I want.

You can cache while using cookies. If you use a cookie to change the page in any way add Cookie to you Vary headers. In Varnish I don't cache response with Vary ~ "Cookie". I also don't cache any response that sets a cookie.

Now if you have a backend that does modify the page using what is in a cookie but doesn't set the Vary header, then using Varnish can be quite a pain. This is hardly Varnish's fault that the backend is crappy.