I have a server setup locally with Vagrant which is running nginx + php5-fpm + mysql + varnish. I've disabled varnish for now just to rule that out.
I've been having issues when trying to login into a customer account on the frontend - it redirects backs to the homepage. The domain is set as www.site.local. I can log in into the admin area fine.
It appears that when redirecting to a successful login, it's creating a new session but not updating the cookie.
When running it via Lynx on the server itself, the cookie is set to fine - the only difference I can see is that it's using 127.0.0.1 as the domain rather than www.site.local
I tried the suggestion on this article - http://www.novusweb.com/1340/e-commerce-technology/fix-for-passing-magento-session-ids - and it works, but I'd rather not have to modify code when there's likely something server-side that can be changed.
If you need any of the configurations of the server I can update the post.