The dark side of cookies
From our example above, you can see that there's nothing inherently evil about a cookie. Most of the time, first-party cookies work to streamline your experience. That said, you should be aware of the potential privacy ramifications that come with cookies. Ultimately, they can collect personal data – so much so that tightening data protection regulations like the General Data Protection Regulation (GDPR) require that many websites comply with their guidelines.
Third-party cookies can be particularly problematic for those conscious of their digital footprint. You've undoubtedly felt unsettled by advertisements that follow you around the web, based on what you've been reading or watching. Ever see those social media "share" buttons on a website? Even if you don't interact with them, they can parrot information about your activity back to the provider.
Exposing so much potentially sensitive data, often without realizing it, is never a good thing. The party harvesting the data may not be complicit in any malicious profiling, but they could sell your data to others that might use it to those ends.
Getting rid of cookies
Disabling all types of cookies will lead to a poor browsing experience. However, there are very few reasons not to disable third-party cookies nowadays. Disabling them will reduce the risks of unintended data exposure. If a website blocks your access unless you enable cookies, you can always temporarily switch them back on.
The most rudimentary method of preventing third-party cookies is by sending a Do Not Track request. But you shouldn't rely on this – you're not implementing some advanced technological barrier, you're just asking the website not to serve you personalized content. In the same way that you might ask a burglar not to take your possessions. Sites can – and often do – ignore this request altogether. Originally, Do Not Track was anticipated to be a mandatory requirement, but it failed to gain traction.
Many browsers now block them for you by default (check your browser settings). Failing that, there are a handful of plugins and browser extensions you can use to prevent unwanted tracking, such as Privacy Badger and Ghostery.