Good question Victor. I'm gonna read through the document Mike proposed but there are basically three aspects to the cookie category; session cookie, first party cookie, third party cookie.

In the case of a session cookie, these should be created and die relatively quickly. They will usually only exist during the time the browser is active. Presumably when the browser closes any session cookie should disappear. I use session cookies on my site to help transfer information between screens.

First party cookies are the ones that we are most familiar with. An example of this is on Greg's board. Rather than Greg having a database of all the users and their message status, the site will save a small file (the cookie file) that contains some basic information including the last message read. When you lose (toss) your cookie, your message pointer will be lost and you will have to create a new one.

Third party cookies are the bad ones (IMHO). These are generally the ones that are put on your system to track something about you such as the sites you are visiting, etc. So if you visit a site that uses an advertising cookie from doubleclick (for example) and you visit another site that also uses doubleclick it will see you were there before (or at another site).

Sometimes cookies are used for good things such as removing or opting-out of different pop-ups and advertisements. Take a look at a site such as http://technoerotica.net/mylog/optouts.html

In general I set my browser to accept first party and reject third party cookies. Worse case if you remove them, they will be recreated when you go to the site. But for the most part you can discern the sites that you have visited and if you don't plan to visit them again then just erase the file.