A cookie is a small record in a special file located on your computer. When you visit a website, it can place a number of cookies to track your activity, store the date and time of the visit, store your site preferences and login data, store your browsing habits, and any other identifying data.
In principle, there is nothing dangerous as long as information stored in cookies is not used by an unauthorized person for a suspicious purposes; is not used as spying solution to track your activity on the web.
An easy way to keep track of cookies stored in your browser is to use the Cookie Wiper. Using Cookie Wiper, you can view all cookies recorded by your browser, select all or some cookies, delete or keep cookies for the specified websites. It has a user friendly GUI with a simple two column layout, the Cookies to Delete which lists the websites and a number of cookies to delete, and the Cookies to Keep column where you can add your favourite/often visited websites to keep your preferences and maintain logged in state.