If you are referring to the cookies that sitecore is using, you can take a look at the documentation to see the full list of cookies https://doc.sitecore.com/developers/93/platform-administration-and-architecture/en/cookies-used-by-sitecore.html. Then in your code you would just handle the rest.
If you need to handle the case where custom cookies might be added in other pipelines, you could implement your own pipeline and have it registered before the custom ones, for example if you take a look at the sitecore pipeline:
<processor type="Sitecore.Pipelines.PreprocessRequest.CheckIgnoreFlag, Sitecore.Kernel"/>
<processor type="Sitecore.Pipelines.HttpRequest.EnsureServerUrl, Sitecore.Kernel"/>
<processor type="Sitecore.Pipelines.HttpRequest.StartMeasurements, Sitecore.Kernel"/>
<processor type="Sitecore.Analytics.Pipelines.HttpRequest.StartDiagnostics,Sitecore.Analytics" patch:source="Sitecore.Analytics.Tracking.config"/>
You would register your custom processor like this:
<processor patch:before="processor[@type='Sitecore.Pipelines.HttpRequest.ItemResolver, Sitecore.Kernel']" type="YourNamespace.CustomProcessor, YourProject" />