Most people really have no idea what a cookie is. As a web developer, it is extremely frustrating to have people blocking your session cookie.
HTTP is a stateless protocol which means that the actual protocol which drives the web has no (decent) way to keep track of users, logging in, etc. There is some basic stuff like HTTP Basic authentication but no one really uses that.
All you can do in a cookie is set a name and a string. This name and string gets stored in the users system and then the web browser sends that name and string with every request. There isn't really much inherently dangerous about the string itself. Now, as an application developer, you have a way to track people on your site which is critical to having member areas, users, etc.
When you sign into a website, such as PoA, the application's logic looks at your username and password. If that username and password is correct it then sets a cookie with an authentication string. Now with every single web request you send (view page, view post, submit post, create thread, etc) that cookie is sent with the request. The application (vBulletin) looks at that cookie, knows who you are and knows that you're authorized to do the action and then permits it.
When people start blocking cookies you really lose the ability to authenticate the user and permit access to secured areas. You end up having to try and send a session string in the URL and inside the URL of every link on your page. It can be a PITA.
Most of the time a first-party cookie on a website is generally only being set to permit your access to some sort of members area or control functionality on the site which requires additional identification or tracking of your interactions.
Blocking a third-party cookie makes some sense. Many third-party cookies are being set on your computer by websites that are either getting paid or are using some service that tracks you. Now if two websites are using the same service that third-party enitity now knows that you visit both of those websites. They can essenitally start to build a database of who you are, what sites you go to, etc. This is valuable information that can be sold. These people are the ones who abuse cookies and there are few websites that participate in this sort of crap.
Personally I don't block any cookies and I'm also a user that is very 'security-aware'. It is difficult to really stop these sites from collecting information about you.
The scary stuff happens within javascript (cross-site scripting stealing your authentication cookie), flash (history of vulnerabilities which permits remote execution on your system), ActiveX (source of much spyware), etc. Problem is--it is really hard to get away without javascript or flash. All the new fancy applications depend on it.
