Whilst ‘ordinary cookies‘ don’t pose any problem at all (except to the paranoid), third-party cookies might be of interest.
Good example is as follows.
You go on Ebay and search for something.
Later on you visit Facebook and see an advert for the same sort of thing you were looking for on Ebay.
This is because, to put it simply, Ebay has plonked a Facebook cookie on your PC with a product category. If you click through and purchase then Facebook gets a diddy commission.
If you’re bothered by this then you can find 3rd party cookie blocking built into your browser or with various browser add-ins.