As you just saw, cookies can help you learn a lot about your visitors via Google Analytics. But what are cookies? Great question!
Cookies are just small text files stored on your computer. Some of these, called “session cookies”, will disappear once you close out your browser, but most will stay in your hard drive. They are simply there to identify you to the web page you are visiting to eliminate the need for you to re-select user preferences, etc.
Like all good cookies, they come in different flavors… First-party cookies, the kind that Google Analytics uses (and the least intrusive) are bits of text set by the same domain that is currently in your browser’s address bar. Third-party cookies are considered more intrusive, and therefore are more commonly blocked.