We want to build an ad-frame which will run on external sites (e.g. YYY.com). The external site will place an iframe to our site (ZZZ.com/ourAdContent.html) and we will show some ads in this frame. The question is, will our iframe have access to the cookies belonging to our domain even when the iframe is on a separate domain?
You can't share cookies across domains. You may share across subdomains. So, if your domain wrote the cookie stored on the client - whether in an iframe from other site or stored by visiting your main site, your domain should be able to access it. Otherwise - no.
Here's some good info on the matter (over on SO)...