New EU legislation comes into force this weekend which will make websites tell users what information they intend to keep.
Many websites use cookies, a small file which remembers specific details about how you use a website, in order to help their website work best for their user.
This can often include remembering passwords and details to speed up login processes, or remembering certain settings.
It is also used by websites such as Facebook to note your interests in order to tailor advertising to you.
The new law will see websites having to tell users how they use cookies, and to what degree, before asking for users' "informed consent" to use them.
Most websites have begun putting up banners or pop-ups that explain the new law and how the website keeps your data.
Websites have had a year to prepare for the change, with the grace period ending on Saturday.
Those that do not comply with the law and still take users' information without informing them could face fines of up to £500,000.
The Information Commissioner (ICO), however, said that fines are unlikely for many sites as most will not be able to store the information in such a way as to breach a user's privacy.
Dave Evans, group manager at ICO, said: "If they comply with one of those notices or sign one of those undertakings they are committing to doing this properly and that's the main point."