If you Google for information about "war on third party cookies", you won't get any cool query completions, but you will get a long detailed opinion from Google's AI confirming that there are serious, long-term, and unresolved issues about privacy and advertising.
Generally, you have a one-to-one (two-party) relationship with your vendor. And cell phone companies and most internet service providers have provided "virtual private networks" behind which you make your web requests. However, advertisers still want to know "who you are", since email and robocalls are nearly free. Therein lies the bigger problem.
Unfortunately, most browsers are not usually configured, by default, to hide information that gives away your email or phone number, and there are plenty of voyeurs "out there" who will be happy to stuff information (from say, a vendor's form that you fill out) into a cookie, for everyone to look at. The ONLY protection you have is the permissions on a cookie, from your vendor's website-vendor "cookie creation request". Most cookies are "session cookies" -- useless -- outside of a timed-out single website visit. However, persistent, third-party (not you, not your vendor, ...someone else) cookies are often the problem -- these cookies are often created when your vendors take free services, like internet advertising, from someone else (Google, Bing, DuckDuckGo, Yahoo, Reddit).
Since advertisers can be anywhere in the world AND can include foreign governments which may not have your best interests in mind, it is "in your interest" to generally block all kinds of third party cookies.
Advertisers, however, may complain: gee we can't verify that our ad was shown! This claim is mostly false. Worse yet, internet service companies (Google, Bing, DuckDuckGo, Yahoo, Reddit, etc) all want to display graphics from their sites (not your vendor's) -- or even, in some cases, your vendor is required to insert JavaScript into their site! There are many ways to verify whether an ad was shown by use of server-side websockets and many other technologies, including, for that matter, direct display of an advertisement from a third party site, which is permitted by nearly ALL browsers. The problem is that advertisers want "the dope" on you: your address and phone. When you disable 3rd-party cookies and display an advertisement directly from the advertiser's website, they get ONLY a useless session cookie with an IP-address of the browser from which you are reading their ad. So just say no to all: "THIRD PARTY COOKIES" in your security settings. If some website malfunctions, most browsers now provide for exceptions. In many cases, all you have to do is refresh the page.
Without this restriction, you have relatively few "controls" on what can happen behind your back. Millions of dollars are spent each year to weasel around what should be a common-sense restriction.
There are (sometimes free, security) add-ons, often called ad-blockers, which will help with the cookie problem. Ad blockers, however, must be chosen carefully as many make websites "useless" since vendors often contract with third parties. I recommend Privacy Badger (from the Electronic Freedom Foundation in New York City). Privacy Badger has the advantage of being completely free and "open" about who it blocks, so you can individually enable cookies when a website malfunctions, or selectively disable it.