HTTP Cookies are widely used nowadays, providing a way to store information that is exchanged between the agent and the server in the request headers. Cookies can be understood as small pieces of information where site preferences are stored. For example, cookies can store information about your location and provide more accurate advertising based on it.
A really friendly introduction to cookies and how to use them on Apache JMeter™ can be found at the blog post “Using JMeter´s HTTP Cookie Manager." Then, the blog "HTTP Cookie Manager Advanced Usage – A Guide" provides a more in-depth view with several examples.