From Netscape's Persistent Client State
HTTP Cookies:
"Cookies are a general mechanism
which server side connections (such as
CGI scripts) can use to both store and
retrieve information on the client side
of the connection. The addition of a
simple, persistent, client-side state
significantly extends the capabilities of
Web-based client/server
applications."
One thing that cookies cannot do is read
from your hard drive, get your e-mail address
or anything else that a normal CGI cannot do.
Cookies can only contain as much information
about you as you disclose on the site which
sets the cookie.