To be completely honest, I don't think they can see your username and then with a click of a button find out all your personal info. Obviously if you do something like brag to the myspace crowd that you're growing weed then yeah, odds are good you'll get caught.
Basically what cookies are, are something that allow you quicker access to a website. For example if you go to a myspace page and they have background music or pics present, your browser will have to download them to view and hear. A cookie as I understand it is something that facilitates that process, so you won't have to spend as much time downloading data needed to view a site.
But, remember the whole RIAA debacle? the RIAA obtained usernames of people illegally downloading songs and then forced their internet providers to turn over their names.
Basically I'd envision it something like this: DEA agent trolling this site comes across your screen name. For whatever reason he decides to take you down. He contacts your internet provider with a warrant (Or these days they don't even have to have one thank you very much George Fucking W. Fucking Bush (I'm a flaming Democrat so you'll probably hear me bashing him often)) Internet service provider turns over your name, and your info. And now said DEA agent is free to have his way with you. (ie, either arrest you outright, or make a deal to reduce your punishment for collaring a few of your boardmates).
Lovely eh?