A cookie is a text file that websites store on your local device, e.g. your computer or your smartphone.
In a cookie, for example, saves information about which pages you visited or which links you clicked. Cookies can store a lot of data about your behavior on the website. The data stored in cookies is often used in connection with your upcoming visit to the website, and it may for example. be it to remember settings or to show targeted ads. Some cookies are also used by other websites which may use the information from your visits to other websites.
Cookies are not dangerous as they are just a text file on your local device. A cookie cannot even perform activity on your local device.
No, because they know nothing about you as a person. However, they can be used to know what you click on on other websites. You see this especially with targeted advertising.