The HTTP protocol is stateless. In other words, once a web server delivers a page to you, when you request another page, there's no intrinsic way for the site to know what you did on the previous page or who you are. Due to the stateless nature of the HTTP protocol, it is necessary for web developers to create ways to manage state across web pages.
Cookies are one very useful and simple way of managing state across web pages.
Cookies are not evil. Some of their uses may seem slightly sinister or intrusive, but I wouldn't recommend disabling them. If you're afraid of being tracked by nefarious web sites, then simply don't give any personal information to sites that you don't trust. Cookies can only store information that you volunteer.