The user may set the browser to alert when a cookie is be set, however as a result of the warning they still may not know the actual purpose of the cookie. The alert tells the user the domain of that set the cookie and its contents. This listing is composed of all sorts of unintelligible numbers and strange data. Furthermore, some companies are use encryption to hide or tamper proof the contents of cookies to keep them out of prying eyes. If it was possible to actually look at what each field of the cookie actually meant and had the option of erasing what is on that record, some people might feel a little more comfortable with cookies.
Some sites use cookies in a way that is truly beneficial to the reader.
Other sites however, use cookies to collect data on user's surfing behavior and then sell or trade that information to other companies. Some companies like Double-Click give you a cookie with an ID in it the first time you visit a site with one of their banners on it. Then as you continue surfing an entire dossier linking you to that ID is built up about you. That dossier can then be sold to other companies or possibly government agencies interested in that information without your consent or knowledge. I would not want to be labeled and possibly investigated as a result of visiting several unrelated web sites that happen to match some arbitrary search criterion.