Many website uses cookies. They are spelled and pronounced the same way as the "cookies" we eat. But here we are talking about "internet cookies" or "HTTP cookies". They are text files that the browser places on your hard disk on behalf of web applications. They are designed to store user preferences and non-sensitive information.
Cookies are also used to "maintain user session" and "track user traffic". These two tasks are very common in web application and does not pose any danger. Shopping sites and any website where you have to "login" often will need to "maintain user session" so they know you have been authenticated. Tracking user traffic is quite standard in web application these days and can already be done via server logs. So disabling cookies is no help there.
Cookies are not dangerous in itself, as they only text files and are not programs. Hence they can not be viruses or malware.
However, through various security holes (such as cross-site scripting holes) in web applications, it is possible for hackers to hijack one's cookie and/or steal your browsing session. That is why properly written applications should never store passwords, credit card numbers, or any sensitive information in cookies.
Cookies are part of the data that is transmitted over the web server from the client web browser. Hence, it transmitted over the HTTP protocal (as opposed to the HTTPS protocol), they can be intercepted by hackers. Another reason why they should not contain sensitive information.
Many web application relies on the use of cookies. And it is often inconvenient to turn off cookies on your browser. I myself have cookies enabled on my browsers. However, I never checkmark the box to have application "remember me and auto-login" and I routinely clear my cookies from my browser.
