Cookies are taking up virtually no room as they are small text files.
However, some cookies are known as tracking cookies (they track the web sites you visit and also track any products you are looking for) and then send this information back to a central server.
This information is used to place target adverts on any web sites you visit.
So for example, if you are looking for a digital camera, and do lots of searches for them, and look for them on Amazon etc, this will be picked up by tracking cookies and will make sure adverts for digital cameras are placed on web sites you visit.
It is a good site to delete ALL your cookies on a regular basis (you can do this via your browser).
Some security products (like anti virus or adaware) will list all the tracking cookies on your computer and you can choose to delete just them all leave all your other cookies.
Note all cookies are bad, some of them store your userid and password (like this site) so it saves you logging on each time you visit.