They are text files recorded in a user's hard drive.  
Sites claim cookies enhance user's Web viewing experience. 
They claim cookies cannot damage user files, nor can they read information from a user's hard drive. 
Cookies can  allow sites and advertisers to "remember" users across pages of a site and across multiple visits to a site. 
They claim this  feature enables : 
 -  Allows personalization features 
 -  Allows quick navigation across multiple zones of e-commerce sites 
 -  Allows user names and passwords to be remembered for future visits 
 -  Allows control of ad frequency, or the number of times a user sees a given ad 
 -  Allows delivering advertisements targeted to a user's interests 

What the do not often tell you is that the can and often do send you name, 
address, email address, telephone number, ... to the cookies sender. 

Cookies regularly tell sources like  Doubleclick where you go on the net. 

Some cookies even send data to places other than the cookie's source.