Whats the risk from the script accessing my cookies?
The malicious script could read the site’s cookie on your machine and send the data to a third party. This could expose information about your web surfing habits. However, it’s worth noting that a web site cannot access any other sites’ cookies, so a Cross-Site Scripting attack using Web Site A could only access Web Site A’s cookie. It could not expose the information from Web Site B’s cookie on your machine.