It looks like Flash cookies, which are really old news, are back in the news (via Bruce Schneier). This form cookie is particularly insidious because it does not honor the cookie policies of your browser of choice.
This Wired article decries the practice of using flash cookies as a “backup” in order to recreate cookies the user has deleted. In fact if you use the BofA online banking web app, that’s exactly how the SiteKey knows your computer is the one you normally log in from. If you attempt to access your account from a different computer it will not detect that web cookie or Flash cookie and force you to answer additional challenge questions.
BTW if you want to know what sites have dumped these critters on you, Adobe has a Flash cookie manager plug-in which you can find here.