A cookie is a text file which contains small amount of data generated by a website and saved by your web browser on your local machine.
Cookies are for your convenience, so that you do not have to fill in your details again when you log back in, want to buy something, leave another comment, etc.
When you change any setting on a website, a cookie can store that change and make it persistent for future browsing sessions.
(While we’re at it, take a quick look at my privacy policy for osintme.com)
Normal cookies aren’t all that bad, but third party cookies are a real privacy scourge.
A large proportion of websites relies on third-party advertising scripts, which are also a type of cookies. The privacy implications are that if two or more different websites use the same advertising scripts, your browsing history across all these sites can be linked and tracked.