What client data should I capture in my webapi from client requests?

Mid-level .net developer here but noob when it comes to public facing (potentially high-traffic) websites.

Doing a little research I noticed a lot of public/high-traffic websites like facebook or even stackoverflow will store ~10 (sometimes more) cookies and I can only imagine these are used for tracking my usage, but I don't know this for sure.

Can anybody tell me or point me to a guide for what data I should be capturing from each client interaction with my api outside of the intended post/put body data? What the significance of said data would be?

And also if anyone knows why so many different cookies? Is there a certain design pattern being followed to only save certain type of data in certain cookies, etc.