Run a method in each request in MVC, C#?

In ASP.NET MVC you could write a custom global action filter.

UPDATE:

As requested in the comments section here's an example of how such filter might look like:

public class MyActionFilterAttribute : ActionFilterAttribute
{
    public override void OnActionExecuting(ActionExecutingContext filterContext)
    {
        var fooCookie = filterContext.HttpContext.Request.Cookies["foo"];
        // TODO: do something with the foo cookie
    }
}

If you want to perform authorization based on the value of the cookie, it would be more correct to implement the IAuthorizationFilter interface:

public class MyActionFilterAttribute : FilterAttribute, IAuthorizationFilter
{
    public void OnAuthorization(AuthorizationContext filterContext)
    {
        var fooCookie = filterContext.HttpContext.Request.Cookies["foo"];

        if (fooCookie == null || fooCookie.Value != "foo bar")
        {
            filterContext.Result = new HttpUnauthorizedResult();
        }
    }
}

If you want this action filter to run on each request for each controller action you could register it as a global action filter in your global.asax in the RegisterGlobalFilters method:

public static void RegisterGlobalFilters(GlobalFilterCollection filters)
{
    filters.Add(new HandleErrorAttribute());
    filters.Add(new MyActionFilterAttribute());
}

And if you need this to execute only for particular actions or controllers simply decorate them with this attribute:

[MyActionFilter]
public ActionResult SomeAction()
{
    ...
}

You could use Global.asax Application_AcquireRequestState method which will get called on every request:

protected void Application_AcquireRequestState(object sender, EventArgs e)
{
     //...
}