Well, really it depends what you're doing. Sessions and cookies are different things.
A session works like this. When you initialize your session with session_start(); a unique session id is generated, a corresponding file is placed in the temp directory of your server, and a cookie is sent to the client which holds the session id. THIS is why sessions are more secure. It's a hell of a lot harder for the user to spoof variable values, because the values are residing in the temp file on the server, NOT in the cookie on the client.
However, a session will only last until the user closes the browser. This is the downside of sessions. A user can't login, using just a session, close the browser, reopen it, come back and still be logged in. Normal cookies have a lifetime, so you can keep variable data over a longer amount of time, however this data is stored on the client and as such is easy to manipulate 🙂
Hope that helps,
Matt
P.S.
Mordecai, sessions are amazingly easy.
page 1:
session_start();
$_SESSION['foo'] = "bar";
page 2:
session_start();
echo $_SESSION['foo']; // This outputs "bar". That easy.
