In actuality, cookies are harmless.  All they are is a simple bit of text which web sites use to identify a surfer in some manner. 
This could be as simple as a numeric character saying 
"this is Richard", or in some cases it can contain actual email addresses, phone numbers or addresses - BUT ONLY IF THESE WERE ENTERED BY THE SURFER.

Cookies can be very wonderful as, properly used, they can personalize the surfing experience making it that much more profitable and enjoyable. 

Sometimes their use is of more concern, as in DoubleClick's use of them to keep a record of your surfing habits. This company claims they use the data to give you exposure to ads more tailored to your desires,
but it raises some critical privacy concerns. What's the problem? DoubleClick and other similar companies
keep a record of all of your surfing habits. 
Do you trust them? Do you even know who they are?

In some rare instances, amateur webmasters actually store credit card or other sensitive data directly in a cookie.  This is extremely bad practice and anyone who discovers it should most definitely complain loud
and clear.  Fortunately, it is fairly rare.

Perhaps the main real danger of a cookie is that it records what has been surfed.  For example, if you surfed to a site called "babeworld.com", you might get a cookie file named "tom@babeworld.com".  Tom
might have to think fast if his wife examined his cookie directory. 
Generally, cookies are extremely valuable.  Sometimes they may let others know more about what you've been doing than you desire. 
My recommendation is to find a good cookie management product  and install it on your computer.  Then selectively accept or decline cookies
from specific sites as you are asked.