Cookies - Birds do it!
You got here by way of an Internet action using the codec HTTP (HyperText Transfer Protocol) (and a lot of intermediate codecs). HTTP is "stateless" meaning once your request has been handled, the presumption is that neither the server nor your browser remember anything about the transaction. Of course, that presumption is false as your browser "remembers" history of all your requests including the location you visited and what you retrieved (cache).
But that was not nearly good enough for Web programmers who wanted to know something about your previous visits so the "magic cookie", a collection of name-value pairs (another codec) was invented and these cookies are remembered by your browser and returned to the web server on subsequent visits. Since web pages can and do include references to other "resources" and these resources are frequently provided by third parties, one visit can and frequently does result in dozens of droppings (think Hitchcock). Theoretically anonymous, these droppings can and do contain information you submit to a site (such as a login). It's OK to get a little paranoid because "they" are out to get your information and the more information and the more specific the information, the better. They also know where you came from (Referrer) and whether your cache has been manipulated (ETag). They can also redirect you to an unintended site (Location)
But if you are like me and you want information, you ante up and give information. It's American as apple pie. Google says "we're not evil" and Glenn Beck says he has "a message from God". Truth is not highly valued on the Internet, money is. If a site asks you for your credit card number don't be "Lost in Space" (Danger, Will Robinson).
The dangers are so numerous, I can't hope to enumerate them here. Any sane person concerned about their well being on the Internet would simply cut the cord, You can get a whiff of the stench by searching "cookie stuffing script". (I am curious as to why this search returns 1,520,000 hits and the more generic search "cookie stuffing" only returns 639,000 but that is another story.)
If you care (and ignorance is just that) you can learn a lot about bird droppings through your browser.
Firefox/Edit/Preferences/Privacy/Remove individual cookies.
Chrome/Tools/Options/Under the hood/Content settings/Show cookies and other site data
Don't let the bedbugs bite.
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