Additionally we had a Ohloh badge somewhere at the bottom of the page. I decided to also remove that, although that didn't send a cookie, but slowed down page loading significantly, and it seemed not to be of much interest.
So I am proud to have heidisql.com free of web bugs again. Of course, that doesn't apply to the ads at the very top of the page besides the HeidiSQL logo.
Btw, if you're worried about your privacy online, the Ghostery Firefox plugin is definitely for you.