Cookies are technically text-snippets stored by your browser. They can contain anything from information if you’re logged into a site (session cookies) to products you are interested in used for behavioral targeting by advertising networks.
If your website uses anything different than session and/or first party cookies, you need to inform about it and ask for the users consent, at least here in Europe. While we do not use any third party cookies at all, we get consent anyway. We do not want to have to proof that that cookie our website wrote was OK in court, do we?! Not every judge can spot a session cookie from miles away these days.
Information Providers Guide
You could read the European Comissions explanation about cookies if you really feel like it.
