As you load new pages, these get bumped off to make room for other images, etc. Some sites also leave a cookie behind automatically so that they can count how many times you come back, and where you go within their site. They also expire as the site fades into disuse. For example, when I click to New York Times, a cookie relays my login and password, making the site come up faster. I think that's cool.
Some people think it's a privacy issue.
Most reputable sites have a Privacy Statement. For example, any given site can store only 20 cookies at a time on your hard drive. That doesn't seem that bad to me . But a new issue has come up in banner exchange programs, to which websites subscribe to provide their advertising. When the banner from a site accesses your cookies, it gets all the information of your visits to pages that subscribe to the same provider all over the web.