I wouldn’t worry about the cookies - your Friend’s doesn’t apear to have any and yours looks to only have one. Try testing your site with the www in front of the address, that will get rid of the first redirect and help a bit.
Beyond that it looks like both of your sites are based on wordpress. If you can, I recommend installing W3 Total Cache.
You should be able to configure it to do page and query caching which should help the first byte time (and that should be an easy configuration). A little more difficult but well worth it would be to configure it to combine your css and javascript files as well.
Thanks again for your test site. I use it several times a day.
I’ve tried W3 and it slows my site down incredibly.
My friend uses it on his with no problem. It could be a theme problem as Genesis has SEO built into it. If someone could figure the complex settings for W3 it would be nice but until then, the first load is fairly slow as you noticed.