They're not asking whether you prefer chocolate or oatmeal-raisin (... we arn't judging but chocolate all the way).
SU's one of the early release sites for the new cookie preferences. Official post here and any bug reports and issues go there.
So - you can pick which cookies you want to allow SE to set. If you want to customise - the defaults that SE provides seem actually fairly reasonable. This should be accountwide for a domain, but I probably would at least initially check on a bunch of accounts how it works as it gets rolled out
and you can look up what these cookies are here, and find out what they do by clicking on the question mark next to each. You may need some third party cookies for using an external log in and some folks may choose to turn off tracking cookies and others.