Information is sent via the Internet to a server somewhere, normally as a hidden side effect of using a program. Gathering this information may benefit the user indirectly, e.g. by helping to improve the software he is using. It may be collected for advertising purposes or, worst of all, to steal security information such as passwords to online accounts or credit card details.
Some HTTP cookies could be considered as spyware as their use is generally not made explicit to users. It is however possible to disallow them, either totally or individually, and some are actually useful, e.g. recording the fact that a user has logged in.