Cookie
Cookies are unique identifiers that web sites place on a user's computer, and are used to maintain persistent information regarding that user's activities on the site. Browser Cookies are kept in a file accessible to your browser, and may be accessed by websites in order to preserve login information and a history of activities.
Other types of cookie are not always as accessible. Flash cookies can be accessed and preferences edited through an Adobe site, which gains access to the files through your Flash player. They are not easily accessible otherwise. Many believe this to be a privacy issue.
Privacy concerns
The use of cookies to track users across third party websites, particularly for online profiling of users for behavioural advertising is a major privacy concern, especially as most users do not know about or understand the practice.