LSO cookies are primary used for Flash. They pretty much work like any other cookie but are much harder to get rid of. So with enough time (and some malicious intent) of viewing a website which incorporates flash, there is the potential that they can view which websites you have been visiting prior to your current location. It is possible to go as far as finding out where you have been shopping, what you were shopping for, what kind of pron you are into, and your social network account names, etc.
To totally avoid this kind of attack would be to completely remove flash. But that would suck... I love me some flash personally. The next thing is to make sure you delete your cookies on a regular basis. If the information is not there, the worst that could happen would be that the attacker is able to only view a list of websites that you have visited that also incorporate flash.
"The quieter you become, the more you are able to hear..."
"Drink all the booze, hack all the things."