Most of the browsers below allow you to opt out of third party cookies, while leaving first party cookies switched on. Third party cookies are issued by web services other than the website you’re looking at at the time, and can allow those web services to track you as you browse from site to site. Facebook and Google do this routinely, as do a number of other advertising networks.
If you just want to avoid the creepiest, most invasive cookies but leave most other stuff in working order, it can be a good option to turn off third party cookies using the browser settings below.
How to change your cookie settings in Firefox
How to change your cookie settings in Internet Explorer 9
How to change your cookie settings in Internet Explorer 7 and 8