cookies do help your web browsing by remembering things like settings you have stored on web pages (such as if when you come to theanwserbank if it remembers your user name that is due to a cookie).
But.. Some cookies (known as tracking cookies) also track your web browsing keep track of and report details of every site you may visit back to a company somewhere, although generally this is not dangerous as such some people object to this as they see it as a breach of their privacy (they report back what sites you have been to but NOT information such as passwords you may have used on that site)
you can read all about cookies at the link below and make up your own mind if your more concerned about privacy or ease of use of the web and then decide yourself what to do about them
http://en.wikipedia.org/wiki/HTTP_cookie