They are tracking cookies which allow websites to see what sites you've been to and what products you've looked at, what ads you may have clicked and perhaps what purchases you've made (all anonymously). They are about as low as you can get on any threat scale so I wouldn't be worried but in general I delete and/or don't allow tracking cookies out of principle and minor privacy concerns.

Spywareblaster is a nice little freebie program that blocks most tracking cookies in IE and Firefox and other threats in IE as well.

http://www.brightfort.com/spywareblaster.html

It's a passive program that does not affect your browsers at all and can be installed alongside any other antimalware program.