What are the cookies used by CiviCRM?
I can't answer on behalf of CiviCRM LLC but I can say that the only cookie I see is the session cookie which just stores a session id. However the session object on the server that matches that id has many things in it, but in any case the purpose within the code is usually to provide functionality, such as the recent history list in the sidebar, or even just basic access control.

What a system administrator might also do with the cookie would be specific to the site.