The biggest concern with cookies is that they enable targeted online advertising by sharing your usage and browsing data with advertisers. In addition, certain advertisers use cookies that can span across multiple websites (third-party cookies), collecting extensive data about your browsing behaviour and enabling advertisers to generate a detailed user profile of you based on your site-specific activities. This profile is anonymous; however, in addition to being a potential privacy violation, it can compromise equity of future information access.
I used to always just click "accept cookies" and moved on. I never knew (until recently) that these cookies are ways for websites to use your data. This is actually so terrifying because many people just accept them to get the pop up to disappear.