Cookies are small files that allow a website to recognise and track users. The ICO (Information Commissioner's Office) groups them into three overlapping groups:
Files that allow a site to link the actions of a visitor during a single browser session. These might be used by an internet bank or webmail service. They are not stored long term and are considered “less privacy intrusive” than persistent cookies.
These remain on the user’s device between sessions and allow one or several sites to remember details about the visitor. They may be used by marketers to target advertising or to avoid the user having to provide a password each visit.
A cookie is classed as being first-party if it is set by the site being visited. It might be used to study how people navigate a site.
It is classed as third-party if it is issued by a different server to that of the domain being visited. It could be used to trigger a banner advert based on the visitor’s viewing habits.
Information referenced from BBC News, more can be read on this at: http://www.bbc.co.uk/news/technology-18090118