When a user interacts with a website, the interaction is valuable information for advertisers. In order to retain certain tidbits of information in your browser a developer has a few options. The oldest and most used option is called a Cookie. Even though the name is funny the technology has been in place for decades and is widely used by almost all websites. Cookies store information in your browser using a unique ID and expiration date. For example, a cookie could be used to store information about your current login state. The cookie would have an ID for your user and an expiration date. When the cookie's expiration date is passed, the information will be cleared from your browser, resulting in a user being logged out.
Cookies have been found to be insecure. Browsers do their best to fix vulnerabilities but cookies are notorious attack vectors. Storing any sensitive user information in a cookie is considered a bad practice.
Cookies are also used by almost every online advertising service. Advertisers create their own cookies for their tracking services. An important aspect of storing cookies is the ability to attach a cookie to the current domain. Meaning if I create a cookie on this website to store on your computer, only my website has the ability to access the cookie. Advertisers using embedded ads, insert their own mini-website on the page using an i-frame. The i-frame is just like a website inside a website. The advertising software then creates their own cookies attached to their domain.
Because advertisers embed the mini-website on any site using their software, they are able to track your data across multiple websites. Notice how ads for the same product show up on all the sites you visit? Yeah, that's a super cookie.
So next time you agree to cookie tracking, realize you are agreeing to have your browsing history shared with third party advertisers. Realize your information is being collated to create a unique profile about your online behavior. The data can be used to target your psychological profile. The profile can and probably has been used by a political campaign to swing your opinion or sway your vote. Realize information is power and you are giving the power away.