HTTP Cookies, usually referred to as just 'cookies,' are files sent to a user's web browser when they access a web site. Depending on a user's settings, these cookies are usually stored on their computer, and used to save information from the web site on the user's computer, for future use. Every time a user goes back to a site that has stored a cookie on their computer, the cookie's information is sent back to the server. Often cookie information is used to re-establish some sort of status on the web site, such as being logged into a forum, or showing an old shopping cart on an ecommerce site.
Cookies are also often used in tracking visitors, allowing a site to better track user activity. Popular free stats programs StatCounter and Google Analytics both make use of tracking cookies to gather more information about site visitors.