What are cookies?
A cookie is a small piece of data sent from a website and stored in a your computer while you are navigating around IT.
The information they can gather differs from site to site but largely the intention of the data they collect is to make the experience you have on that site a better one.
Directly that may result in providing you an better experience by remembering information you may have typed in – so that you don't have to when you return; or perhaps on e-commerce sites it will remember the contents of your basket, what you shopped for, or your login details.
Indirectly cookies can provide web site developers with information about the parts and things on a website that are popular with you, and those that aren't. If the average time spent on a new design of page is one second, the designers can be sure that it hasn't worked and will need a re-design!