I take it cookies are used to determine what ads and news articles appear on various webpages that I visit. If so, they can be used to identify that I'm a gun owning conservative, correct?
Not exactly. Cookies are simply small data stores. The exact data is whatever the cookie writer finds useful. For most web sites, that might be your user name, and similar information. For a web ad network it will be a unique identifier and possibly behavioral information intended to predict to which ads you will watch or click. Like any useful mechanism, it can be abused, but there’s nothing inherently nefarious about cookies.