Cookies are used to both enrich a visitor’s experience and, in many circumstances, by website owners to track how visitors use websites. This is by no means always a malicious or suspect activity. For example, if you are using an ecommerce website, the site will generally need to store your cart details so that it can display them when you go to checkout (or if you come back to the site at a later date).
The EU Cookie Directive tries to make this clear, asking all website owners to notify their visitors that they use tracking cookies and, in many circumstances, to stop using cookies unless visitors specifically accept them.
Not all cookies need to be notified. For example, cookies that are used to store product details when you add them to an ecommerce shopping cart would be exempt, as they are essential to delivering the functionality.