Cookies are small files placed on your computer by websites that you visit. They have a number of purposes, from pre-filling your username in to forms, to remembering items in your shopping basket or tracking your browsing across the site. To find out more about cookies, the Wikipedia entry has a good explanation.
This site places some; either to remember your interaction with it, such as providing a name when you make a comment or through third parties with embedded content such as YouTube videos or Instagram pictures.
I use Google Adsense to serve ads on this website and they also place a cookie as part of that program. You can find information, including how to opt-out of their cookie placement over at the Google Adsense support pages.
I also use Google Analytics to measure how popular the website is, along with how long people read it for and metrics. To do this, Google set cookies, and you can read more about this, as well as how to opt-out over on their support pages.
If you are concerned about cookies this site places, get in touch here.