Safari automatically checks certain sites for updates:
Top Sites
Subscribed feeds
Sites that you've selected for Quick Website Search
Pages that turn up as Top Search Hits
Pinned tabs
Cookies and databases from those sites will be reloaded even if you don't visit them. If there are particular sites that you don't want to accept cookies from, follow the instructions in the support articles linked above to exclude them. Note that if you visit a page often, it may be added to your Top Sites unless all the available slots are already occupied by pinned sites.
Cookies can also be created by elements, such as ads and invisible "web bugs," that come from a different web server than the one you browsed to. You can block some of those cookies in the Privacy tab of the Safari preferences window.
To block all cookies from a site selectively, you'll need to use third-party software or a different browser. I don't have a specific recommendation.
The file in which web cookies are stored may also be used by third-party applications that use the same mechanism as Safari for communicating with web servers. Those apps may add cookies from sites that you've never visited in Safari.
