I should say that if you do delete all your cookies, then start browsing the web for an hour, at the end of that time you will probably have 50 cookies so it could be said deleting them is a bit of a waste of time.
You can set your browser to tell you each time a web site wants to save a cookie, and while it is interesting to do that you will soon get fed up with saying OK and you will soon turn it off.
You can even set you browser to save NO cookies, but some web sites wont work without cookies turned on, and if you do have them turned off you need to logon to each web site every time you visit it.
Read about cookies here
http://en.wikipedia.org/wiki/HTTP_cookie