Cookie
A small piece of data a website stores in your browser to remember state between requests.
Cookies were invented to fix one problem: HTTP is stateless, so a website can't tell that the request that just logged you in came from the same person now loading a page. A cookie is a small key-value pair the server sends in a response and the browser plays back on every subsequent request to the same site.
Legitimate uses include keeping you signed in, remembering a language preference and holding a shopping cart. Cookies become a privacy concern when they identify you across sites (see third-party cookie) or persist long enough to build a long-term profile.