So there’s the WordPress cookie, and there is a Google Analytics cookie. The first one is described above, the second one basically keeps track of which links are clicked and how long various posts and pages are viewed. It doesn’t show me as the blog owner anything about your IP address, and your visit can not be traced back to you as an individual, or even to your address. If I visit the site myself, for instance, it will only register a visit from Nottingham, UK. Nothing further.
Some people still think this is infringing privacy, but as any Google Analytics account holder can attest, there is nothing to connect a particular visit with a particular individual behind the computer, or even which physical address holds that computer. If anyone’s going to track you down and knock on your door, it’ll be the NSA or GCHQ, and they have other (far more effective) methods to track you.
*What’s a cookie?
A cookie, also known as an HTTP cookie, web cookie, or browser cookie, is a small piece of data sent from a website and stored in a user’s web browser while the user is browsing that website. Every time the user loads the website, the browser sends the cookie back to the server to notify the website of the user’s previous activity. Cookies were designed to be a reliable mechanism for websites to remember stateful information (such as items in a shopping cart) or to record the user’s browsing activity (including clicking particular buttons, logging in, or recording which pages were visited by the user as far back as months or years ago). — Wikipedia: HTTP cookie