Not that cookies are evil in and of themselves (they're how you can stay logged on to a website for more than one click) but sites, advertisers, and companies that track and aggregate user behavior can infer a great deal about you by following all those cookies they plop onto your browser. They watch your browsing habits, share your information with one another (you agreed to it when you didn't read that "terms and conditions" blob of text), and mine the data with fancy statistics.
I actually clicked on a link to this on the NY Times out of curiosity, thinking it would be an ad. It's actually the way to opt-out of lots of tracking.
Original post on no0two.com