Cookies are used by web pages for helpful things like remembering your password so you don't have to enter it everytime you visit the site.
Cookies can only hold information you voluntarily give to the web site, or information about what you do on a particular web site. They cannot know things about you that you want to keep hidden. More importantly, a cookie can only be seen by the original web site that set the cookie in the first place. In other words, if you give your credit card number to a place like Amazon.com, they may put it in a cookie, but only Amazon.com can read that cookie. No other web site can see it, and no other web site can find out what you did on Amazon.com.
Because of this restriction of only being allowed to see the cookies each actual web site set in the first place, cookies are not bad or evil. They can only help to speed up your web browsing experience.
At rutles.org, a cookie is used to remember your score in the trivia game. This way, you can play part of the game, and when you come back later, the game can pick up right where you left off.