I dunno maybe Im a bit blase about cookies.
There are many reasons why you need cookies. I use cookies on this site. Without them, certain things just wouldnt work.
For eg the adslchecker is a prime example of needing a cookie - this uses a session cookie which is destroyed immediately you close your browser. Theres no personal information stored anywhere and in this case improves security for the user as certain details are retained across the browser session rather than me storing or collecting them on the server. Close the window and the session gets destroyed.
I also use session cookies for the ad banner.. all that does is do a count of 1,2,3,4 and rotates the banner so you get a new one at each page. Again there is no way any personal identifying info can be collected. - close the window and its destroyed.
Theres also the cookies for forums that retain login info as encrypted username and passy.
Yes there are some sites that may use tracking cookies for ads - again I dont really have a big problem with these as they also dont gather any personal info.. just what ads have been displayed across various sites.. or maybe such things as discount offers etc.
The ones that do get the bad names.. are those cookies that are used in conjunction with malware to say serve sex-ads or "software" etc. My thoughts on these are you need to have had some sort of malware or spyware installed on your PC in the first place anyhow to work with the cookies. Its far more important to protect against the spy/malware itself as thats what is most likely to do the most damage.
Just my 2p