Sessions are for security. Sessions are done on the server meaning they cannot be changed by the user unless you get hacked.
Now a disadvantage is that the person must login again when the browser is closed.
Cookies however arent as secure meaning Forums are ok to use them on(Meaning these forums use them)
Cookies also allow the user to not have to login again cause user information is stored in the cookie on there computer. Unless deleted or changed it wont affect the users visit