Essentially 3rd party cookies can track your movements/activity across many sites. Hence the name tracking cookies.

I would still disable them, even if a particular function requires 3rd party cookie use and instead make exceptions for cookies for Quidco, etc. rather than allow everything.

Unfortunately the firefox cookie options are pretty poor, with very little flexibility/configuration; this is why I use the CookieMonster add-on for firefox as it gives you far greater flexibility/configuration, see my Reply #6 of this topic.