Cookies: the tools to control them
A cookie is simply a technology to remember something about you.
Without cookies, a website is like a goldfish that loses its memory every time you visit a new page. Once you visit a new page, it no longer remembers who you are.
Now, this can be a good and a bad thing. Without memory, a website cannot do many things. It cannot allow you to log in because it forgets who you are. It cannot allow you to buy anything because it forgets what you are buying.
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 to ban any music to prevent another Justin Bieber album. Many websites just won't work.
A better option would be to disable third-party cookies, which will prevent most websites from sharing information about you. Some browsers - like Safari - do this automatically.
And finally, you can take a closer look at all the websites that concern you. Most websites have policies that explain what they do if you want to look.