Being delicious
Okay seriously, it's some memory that sites would request the browser to store to have info about you.
For example, if you check "remember me when I logged in" on any sites, they will store a cookie that would basically tell the site "hey, I should be logged in with user X and pass word Y".
But it could be stuff like saved online game data, they basically make your life so much easier.
Like you could delete your cache, history and password complete to clean your stuff, but please try to not delete the cookies because they are so much usefull.