1st party cookies are from the site you visit. This is basically stuff like passwords and user ids and shopping cart items and those things that are staying there so when you return later its already there.
3rd party cookies are actually created by other sites and are a MUCH bigger problem imo. These are placed there for advertising and can be read by other sites. This is why when you search on amazon or walmart site for iphone accessories, and then go to other websites, you start seeing ads for iphone accessories.
I would recommend blocking 3rd party cookies in your browser settings or cleaning up and deleting all your cookies regularly including deleting flash cookies.