Understandable, when I first started using Blink I wondered the same thing. Blink allows you to use your computer without asking you every friggin 5 minutes are you sure you want to do that?? Are you sure you really want to launch that program?? All the other security products out there are like hyper annoying little poodles barking at your ankles and running to the door everytime there is a noise when it is really nothing. I have learned to enjoy my computer now instead of having to answer all these prompts from a security application. Quite frankly, after using Blink for awhile, I uninstalled it and tried what I use to use ... remarkably I was annoyed very quickly and returned to using Blink. Blink is so much more. Not many security products offer you a full fledged security vulnerability assessment that you can run on your system to tell you what you have messed up, configured wrong, or that your missing a patch you never realized existed in the first place!
As far as cookies, a lot of the ones that are used for tracking you come from places like doubleclick, google, and a few other places. These entities also put all the blinky annoying advertisement ads up on your screen. Depending on where you go, some of these ads may silently send your system off in the background attempting to connect to another domain which trys to download malware to your system silently without you knowing. I created an IPS rule in Blink (duplicated from another one that existed) that block your machine from going out and grabbing these ads and so forth. If your interested in doing the same, I have posted what I did to make the IPS signature in the post located here: http://forums.eeye.com/forums/t/918.aspx . I also update it from time to time if I come across a domain that is pushing ads everywhere I go. Note if you use this, you will see areas in a webpage that are blank with nothing in it or an error box saying the page can not be displayed. This is the result of these ads being blocked.
Here are some examples of the log entries that would show in Blink (if you choose to log all of them):
Event ID: BLINK-IPS-170000
Severity: Information
Description: Additional HTTP Requests
Alert: No
Action: Terminated
Attacker: 192.168.1.2
Attacker Port: 4672
Victim IP: 204.245.162.18
Victim Port: 80
Protocol: TCP
Request: Host: edge.quantserve.com
Process Path: C:\Program Files\Internet Explorer\iexplore.exe
Here are two from the famous ad and cookie tracking company "Doubleclick". Google recently aquired this company too.
Event ID: BLINK-IPS-170000
Severity: Information
Description: Additional HTTP Requests
Alert: No
Action: Terminated
Attacker: 192.168.1.2
Attacker Port: 4658
Victim IP: 74.125.242.24
Victim Port: 80
Protocol: TCP
Request: Host: ad.doubleclick.net
Process Path: C:\Program Files\Internet Explorer\iexplore.exe
Event ID: BLINK-IPS-170000
Severity: Information
Description: Additional HTTP Requests
Alert: No
Action: Terminated
Attacker: 192.168.1.2
Attacker Port: 2759
Victim IP: 74.125.91.154
Victim Port: 80
Protocol: TCP
Request: Host: googleads.g.doubleclick.net
Here is one from the domain (atdmt.com) that runs a lot of flash banner ads and such which sometimes will attempt to redirect your system elsewhere to a site within its domain that trys to install the fake Antivirus program "AV2009" on your system.
Event ID: BLINK-IPS-170000
Severity: Information
Description: Additional HTTP Requests
Alert: No
Action: Terminated
Attacker: 192.168.1.2
Attacker Port: 2728
Victim IP: 12.130.60.8
Victim Port: 80
Protocol: TCP
Request: Host: view.atdmt.com
Process Path: C:\Program Files\Internet Explorer\iexplore.exe