Cookies are small text files used by websites to store user information, such as login information, site preferences or activity, so that the website displays information relative to the user.
For example, when a user logs into a site, that user's details are kept in a cookie file created by their web browser. This file tells the site that the user is logged in.
If cookies were not used, a user would have to login every time the page was refreshed or a new page was loaded. Thus, cookies are an essential part of modern websites, as they allow the website to be tailored to the individual user.
What cookies does this blog use?
Google owns Blogger, the service on which this blog runs. When you login to Google services a cookie is set to track you across Google products, such as Blogger, Gmail, Google +.
This blog also uses Google Analytics, a service which allows webmasters to see useful information such as:
This blog uses Google AdSense to pay for its costs.
This blog also uses StatCounter and its associated cookie as secondary source for accurate measure of traffic along with the aforementioned Google services. Again, no information is used to identify users or gain personal information from users.
How to turn off cookies if you would prefer not to use them.
Here is a useful site that covers the various web browsers and has instructions on how to control cookies.