Cookies are small files the web browser may save in your computer to track your activities on websites. They are commonly used to keep logged in a service and save your preferences. HTTP is a stateless protocol (it means no memory of previous operations) so cookies are very important instrument to allow personalized contents on the internet.
However for many reason you may want to disable them. The topic of web neutrality is quite hot. I believe that internet should be a bit more stateless, but that's not the way you make money. Right Google?