A jar full of cookies!
There was a time when a cookie was a type of biscuit - but now it's a piece of code that automatically downloads from a website onto your computer so that the website recognises you when you return.
Cookies are a convenience to save you having to keep logging in and identifying yourself every time you return to a website, but some cookies gather information and keep it so the site owner knows the demographics of who is visiting. However, cookies have been open to misuse and few users know how to get rid of those that have been installed without their knowledge or permission. Last May (2011) all this changed and a new set of regulations were put in place to ensure that the cookies you have on your computer are there with your permission and that you know they're there. The deadline for website owners to comply with these changes is May 2012.
Be warned that just putting a clause into your terms and conditions is not enough, the cookie announcement has to be much more visible and cookies can only be downloaded when the website user has agreed. There's more information on this here