Are you using v1 or v2? I'm using v1 [Sun Java System Application Server Platform Edition 9.0_01 (build b02-p01)].
The only thing that works for me is %header.cookie% which prints all cookies and values and the useless %cookie.value% which print the value of one random cookie.
To make sure I'm setting this in the right place, my format goes here:
Admin Console > Application Server > Configuration > HTTP Service > Access Log > Format:
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