We need to default URL to unique name. If it is www then with no prefix or vice versa. So decision to be made is either stick with www or with no prefix.
With no prefix cookie is set for all sub domains. What are other downsides for it? Or benefits?
Basically we need this for OpenID as OpenID will make users look different if they came from www or with no prefix.
As our site is new so we can go with either one. Also, how the domain name looks is not much of a concern.
By not using the www subdomain, you can suffer a performance hit when delivering static content, as noted here: http://developer.yahoo.com/performance/rules.html#cookie_free. As I understand it, if you use http://example.com/ and http://static.example.com for static content, any cookies you set on the main domain will be passed with requests to your static subdomain.
This can be avoided quite easily, by buying a distinct domain for static content. However, this can certainly be dealt with by using a www subdomain.
Then again, this is a very minor con, and really only comes into play when you're dealing with a high-demand site. (For example, Digg uses http://digg.com and http://*.diggstatic.com).
Ultimately, I would say that this is such a minor problem that it can probably be dealt with if performance starts to suffer. Don't optimize prematurely, and all that...
And, as @Tomas Lycken points out, make sure you account for www even if you don't use the subdomain.