A cookie is just a technology to remember something about you.
Without cookies, a site is like goldfish that loses its memory every time you visit a new site. Once you visit a new site, you don't remember who you are.
Now this can be a good and a bad thing. Without memory, a website cannot do many things. He can't let you connect because he forgets who you are. It can't let you buy anything because it forgets what you're buying.
Cookies aren't automatically good or bad, but it's worth understanding what you can do about them.
You can turn them off completely, which is like banning all music to avoid a Justin Bieber album. Many websites just won't work.
A better option would be to disable third-party cookies, which will prevent most sites from sharing information about you. Some browsers - such as Safari - do this automatically.
And finally, you can take a closer look at the sites that interest you. Most sites have policies that explain what they do if you are interested in looking.