01 Everyone gets a cookie?
If you somehow manage to provoke the website to give you a cookie, that cookie will be of a necessary first-party technical type.
And that is perfectly fine – as long as you are respecting your visitor’s privacy.
But, this is where it can get dark.
Any website can within itself, insert the scripts from other pages. And you may not even know about it. This gives the third-parties an option to track your behavior. While they are tracking you, they also give you a cookie with an unique ID. Now, if you visit other sites that also use these scripts from the same place, they can keep following you because of the unique ID cookie they gave you. Do this a lot, and you end up being tracked all over the internet.
Now imagine that third-party is a big company that doesn’t have good intentions. They can easily track you over a vast number of websites and exploit the data against your best interest.
Make note that this is NOT a cookie problem. Cookies are just the easiest way to do it.