Cookies are a way for a website to remember who you are, and/or retain a specific state, such as sorting order preferences. They're needed because HTTP is a stateless protocol: every request is completely separate. Cookies are sent with each request, and can be used to look up a session key or similar so the website remembers your preferences, or login state, or whatever.
Cookies in themselves aren't bad, or dangerous, they're just short snippets of text stored by your web browser.
Anyway, we are where we are. The GDPR might well mean we're legally required to ask everyone who visits the Forum whether they're OK with Google Analytics or not. Hence the annoying popups you've come to love might be coming here soon. From a technical point of view it's annoying and mostly pointless, but it's a legal requirement. Blame the politicians and law-makers, not the website developers.
To answer merseymouth, the reason this tracking is a problem is because Google and Facebook and the like have discovered the eye-wateringly immense value in gathering data about people. It's all about selling targetted advertising, still very Big Business. In 2020, Google made $146,920,000,000 in advertising revenue. That's why Google is Big.
In the case of Facebook, the targetted advertising can be used to influence national election results (see: Cambridge Analytica) which is another massively lucrative exercise. Facebook knows your family and friends, and can work out your political views. They'll then send you political adverts which you will probably like, subtly influencing your ideas on how to vote. We naturally like organisations that fit our opinions.