The fact that they even exist leaves no doubt that another computer can gain access to your system without your knowledge or, for that matter, permission. This can leave some people a little unnerved. After all you do keep many personal things on your computer. In actual fact the threat for unwanted access is higher for corporate users than home users. The corporate arena has much more at stake in terms of valuable data than my check book or credit card account does.
Cookies are also controversial because of the information they provide to marketing firms.
Everywhere you go, on the web, use of cookies will leave a trail of where you've been that gives marketing companies all kinds of information about you. This is not necessarily as bad as it may seem. The information will tell them what you like to see and how many times you have been to specific web sites. However the temptation for abuse is also present. Only time will really tell if access to this file will lead to abuse of the information it provides.