Just a nuisance, if that. When you go to certain websites they something throw a tracking cookie at you. It keeps a log of the kinds of websites you go to and reports it back to the site. The prupose is for them to know what interests you and can therefore base their advertising off of the data they collect.
They don't send any personal information or shit like that and don't really harm your computer. I don't worry about them at all, but I do delete them when they show up on my weekly ad-aware and spybot scans. But they're nothing to worry about.