Third-party cookies are small pieces of data stored on a user's device by websites other than the one they are currently visiting. These cookies are often used by advertisers to track user behavior across different sites, allowing them to deliver targeted ads based on browsing history and preferences. Unlike first-party cookies, which are created by the website a user is visiting, third-party cookies come from external domains. This tracking can raise privacy concerns, leading to changes in regulations and browser settings that limit their use, as many users prefer to keep their online activities private.