Theres no real danger in a cookie. They can't be executed unless you've already got other major security issues. So unless you're one of those paranoid people who wouldn't give their neighbor their phone number, there's nothing to fear from a cookie, just like there's nothing to fear from a dead snake.
On a related note, I've always thought it funny how people are afraid they'll get a virus from a jpg (an image editor won't try executing images, and if Windows tried, it'd tell ya "This is not a valid Win32 application"). What they aren't realizing is it's a fear of being fooled into thinking it's a jpg when there's actually a hidden .exe on there. That possibility for exploit is another motivation for my suggestion to not hide extensions by default when the next installment of Windows finally horns its way into the market.
Yes, I agree! I always laugh when someone says they got a virus from a DVD, or when someone tells me they got a virus from a Halo map file
And about the cookies: He said "Most cookies do not contain any personal information". My sole argument was that they do contain personal information (their purpose). While it may not be identifiable to you (i.e. social security number) it is at least identifiable to your preferences or what have you. I think he should me a bit clearer on exactly what he means by "personal information". Do you mean your birthday, or your driver's license number?