In the case of this site, cookies are issued by the banner operators to know which banners the user has viewed. This allows the banner dispensing software to issue different banners to the users. They then can also keep statistics on what banners are viewed more often and from which area. No harm can be done to your system with these cookies. It is not good to delete or block them.
Many sites use cookies for good use.
They then know your activity on their site, and will be able to let you see other new things. This is especially true when on interactive sites. There are some privacy issues, but nothing is absolutely fool proof. There are people out there who spend their life time trying to figure out ways to monitor people's activity, and if they are malicious they can cause some problems for users. However, this is very rare.