Cookies can be a lots of things and, while legit sites might not do anything bad with them, some "not-so-legit might like them, and spyware might start reading them and redirect them elsewhere... And also, there's the "onsite privacy" issue where anybody who have access to your PC can see these cookies and therefore, see where you went browsing!
One single cookie might not be any use to a hacker but, collecting a bunch of cookies and correlating whatever they contain could potentially allow somebody to know a lot of things about somebody else...
I clear all my internet files manually and also have a "shredder" program who permanently obliterate any data I delete from the "recycling bin", by overwriting bunch of bogus stuff over it 5-6 times. It's then "no more", unless somebody really want to put time and money into recovering it...