Cookies can (mostly are in fact) useful things - eg. for logins as mentioned. However, part of the recent furore about them is their use in 'tracking' you around the web and behavioural advertising.
The hardware equivalent to this is a man following you round the shops noting down where you go and what you look at and buy, then as you drive around for weeks after he rushes in front to many of the billboards and changes them to advertise the stuff you'd been looking at.
If you use Amazon you will see them 'pushing' stuff that is linked in some way to what your history on the site is. That is not too bad in my mind as it is kept (AFAIK) within Amazon.
But the tracking cookies take this out to multiple sites, so your information is effectively going much more public.
Some people think this is neat, some find it annoying, and some feel it invades their privacy. I'm more in the middle category for two reasons. One is that you get bombarded with adverts for stuff you looked for, so if you've been looking at a present for a family member your screen keeps throwing up what they may be getting and they may see this. The other is that I generally spend an hour or two looking, then either buy or decide not to - end of story. But I then get adverts for the next month for stuff I'm no longer interested in. (That's good in a way as I'm completely immune to them and they block out stuff I might be tempted by :) )
Any road - you can defeat some of this with the help of a couple of sites that opt you out. Visit, select all, opt-out. You may need to repeat to get them all registered and you should revisit every few months and after clearing your cookies (because they place cookies on your PC to tell the trackers that you don't want their cookies). (Confused yet?)
Note that this doesn't stop adverts, it just means they will be the 'normal' random selection. You need to use add-on software or deeper browser settings to actually block adverts completely.
The two sites I know of and use are:
Network Advertising Initiative at>
http://www.networkadvertising.org/managing/opt_out.aspyour online choices at>
http://www.youronlinechoices.com/opt-outbut there may be others.
You do not need to register at these sites or give any information. The links above go direct to the 'action' page (they are from my bookmarks), but you can browse the sites for more information if you want.
Don't worry if there are duplicates between their lists - they will work.