Best place to intercept extra URL parameters

I am implementing simple affiliate functionality, e.g. site.com/page?affiliate=affiliate-name (in the case of clean urls).
Where is the best place to hook to intercept those extra parameters, so that I can set a custom cookie?

I know of three:

hook_init()
hook_menu()
_phptemplate_variables

I am currently using hook_init() but would like to know what the best-practice is.

I want to always intercept these parameters, even in the case of a cached page.
Thanks!