Because the more of them you have (ie, the more websites you visit), the fatter you are.
History 101: Internet invented by *gasp* the MILITARY! Yes, another technological breakthru brought to you by Uncle Sam without so much as a thank you from the world. That and GPS and you'd think people would lay off the "baby-killer" nonsense, but heck no!
Anyway, military creates it, reveals it to public. Education system starts one, somebody finally wises up and says "I like this" loud enough that some marketing letch (read: ex-frat guy who landed a job at his dad's company) decides to suck the life out of everybody else's hard work. "If people like it, we can sell it" ensues, so now businesses enter the arena. Businesses want information about everything and everybody (ie, demographics) so they can know exactly how to drill the idea into your head that you actually need that damn juicer.
Enter: the cookie. Hey, we'll just dump a little "I was here" information on your harddrive everytime you go to a website, so that later, when I want to know what you buy and when, and how, and why... all I have to do is take a look at all those cookies I've been dumping in that hidden folder on your harddrive. Never mind your privacy - Uncle Sam is the guy taking the fall for that rap.
And that's the history of cookies. *bows to the crowd*