You can't guarantee the client will accept cookies ( ie if security settings are set or is they are blocked by a firewall ) - whereas server sessions will always be available.
Cookies can be set to always stay on the machine or go after a specified time and are user dependant ( each user on a machine can have a different set of cookies ) , where as server session are valid as long as the browser is connected.
Cookies can be read and modified by the user on the client with notepad so you can't always guarantee their integrity.
I would suggest it all depends on the type of page you are creating - if you are just after storing a user name or a list of which pages a user has been to use a cookie. If you are after checking if a user is logged on to a site or storing more sensitive information use a session - for added security use a combination of both.