I finicky about cookies. But good or bad, they are not a security issue.

That said, they can be a privacy issue. Especially when used by 3rd party tracking services. If a website uses one of these 3rd party companies, that website and all others that use the 3rd party service can piece together a profile of your surfing habits. Again, not a security issue as they would not know you personally, but they could certainly know a lot about you... what you like to buy, what blogs you visit (perhaps your political views), and so forth.

If you don't want to handle cookies one by one, do what Jim suggests. Especially the block 3rd party cookies part.