Rule of Thumb
If you want the user to be able to close their browser, shut down their computer, go to bed, wake up the next day, come back to the site and have the information remembered then use cookies.
If you want the information to be forgotten as soon as they close their browser use sessions.
For example:
I may wany my forum to remember the last thread a person viewed as long as their are on my site. That way I can offer them a browse from last viewed thread button. However, if they go away for a while I don't want that option anymore cause a lot of threads could have had posts in that time. So for this I would use a session.
On the other hand I could want to remember the last time they stopped by so I can create a display posts since last visit page. In this case I would use a cookie.
Understand?