Cookies are non executable text files that are stored on your computer. They are used by websites to store small pieces of information such as preferences or to keep you logged in to the site.
Cookies can be used for cross domain marketing and have been been cited as potential security risks with regard to recording personal information. Recently, there has been a lot of media attention focused on these issues which has caused concerns for users of websites.
Websites that people associate with needing solid security such as financial, academic and government institutions, may wish to address those concerns by removing cookies from their sites and implementing cookie-free solutions.