The National Security Agency analyzes tracking cookies used by online advertisers in order to find and target surveillance subjects, according to The Washington Post and documents provided by Edward Snowden. Based on internal slide decks, "when companies follow consumers on the Internet to better serve them advertising, the technique opens the door for similar tracking by the government."
NSA and British GCHQ are using ad tracking cookies to identify unique online users, and are apparently particularly partial to a Google-specific cookie format known as a "PREF" cookie. A PREF cookie—short for 'preferences'—may contain information such as a user's region (useful for weather reports and the like) and other settings such as the number of search results to display, preferred language, and whether to keep SafeSearch filtering on. Additionally, it is unique for each user, in order to serve up personalized ads.
NSA likes the cookies because they allow them to "enable remote exploitation," although what they means exactly is unclear. These types of technical tricks are used not to sift through bulk data for suspicious activity, but to track and engage with specific targets.
Most browsers contain a Do Not Track function that limits third-party cookies when enabled and disables tracking users across websites. According to a website maintained by Stanford and Princeton researchers, of the eight large tech companies pushing for government surveillance reform, only one—Twitter—honors the Do Not Track policy.