Usually never because it erases all the auto-login info for forums. However, though, there are times when the login systems for phpBB won't work. In that case, cookies have to be cleared.
Like TheJason, I don't delete my cookies. I actually don't want to because it's just annoying especially if you visit a lot of sites regularly. It removes auto-login for a lot of sites and it can remove a lot of "remembered" things from certain sites which can get annoying.
I think a forum should be cleaned, however, and I don't mean the dust, though, that's also a good idea. In other words, a system utility program is a big advantage. Nonetheless, though, you can clean out other stuff besides the cookies.