I am trying my first install of Mailman. I have a working
Postfix/Dovecot/MySQL mail server running Ubuntu 12.04 and nginx
stable 1.2.7.

I am following the ngnix Mailman wiki article

http://wiki.nginx.org/Mailman

and the Ubuntu Official Documentation for setting up Mailman.

https://help.ubuntu.com/12.04/serverguide/mailman.html

I had to install thttpd from the deb file because starting with 12.04
it is not available in the repositories.

Other than that, I tried to follow both guides to the letter. When I
go to http://lists.example.com I get redirected to
http://lists.example.com/mailman/listinfo (on Chrome and FF, but not
IE) and I get a 400 Bad Request Request Header Or Cookie Too Large.

Any ideas on where to start looking?

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