Well cookies are just a text-string in a key/value pair, so they aren’t doing anything to your data. They’re just storing temporary data about you, either to identify you should you visit again, to keep some settings about you in memory, or to store some miscellanous information that’s better used on the fly than stored in the database (Lat/Lng coordinates can be one if you’ve used a location lookup for stores, as an example).
Cookies aren’t inherently malicious, and can’t be directly traded/used between websites. It’s when used in corellation with other code that they can be used to actually track you, but that’s a active choice on the websites behalf, and it’s only then that there’s any kind of data exchange really happening (profiling you usually).
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