Well, it depends. Cookies are very useful. Whenever you visit a website the information is saved on your computer, enabling your settings and such to referenced whenever you visit that particular website again. But, on the other hand cookies can and have been used to spy on your online activities.
"Companies like Acxiom and a competitor, Datran Media, make the connection between online and offline data when a person registers on a Web site or clicks through on an e-mail message from a marketer." New York Times: Media & Advertising
It never hurts to be on the safe side. It helps wiping cookies off your computer often and never opening suspicious emails.
Take a look at some of the programs on this website, they are sure to help you.
Protect Your Online Privacy.