Cookies aren't automatically good or bad, but it's worth understanding what you can do about them.
You can turn them off completely, which is a bit like banning all music to prevent another Justin Bieber album. Many websites simply won't work.
A better option would be to turn off 3rd party cookies, which will stop most websites from sharing information about you. Some browsers – like Safari – do this automatically.
And finally, you can take a deeper look into any websites which concern you. Most websites have policies that explain what they do, if you care to look.