Less Legitimate uses of Cookies
Serious questions about privacy and security
Is the convenience of the WWW worth giving up what you consider to
be personal, private or sensitive information?
Violations of privacy: clickstream
(possibly with embedded query
information), DoubleClick, software
configuration (OS and browser), contents of any JavaScript variable.
Sites track users, analyze access patterns (within their own sites).
A site can instruct your browser to provide information to a third
party (many browsers refuse).
From the W3C Security FAC, some more information about cookies and
their security
risks