Hi there,
the bigges problem with cookies is that not all users got it enabeld - and they will not be able to use a login system based on cookies. I'm not sure how many people that don't have cookies enabled, but lest say that 5% don't. And if your page got 1000 hits every day - that means that 50 people can not use the site. Thats a lot of people: 50 * 356!!!!
So for a login script it would maybe be smart to use sessions. But it's just not all advantages with session! Read the chapter on security in the PHP manual.