A Visual WebGui project was experiencing strange session loosing behavior which had us deep into tracing our steps from here to eternity and at the end an inch more than 4kb of data was to blame. Do not say I did not know and have it marked on the wall cookies are for small amount of data... very small.
You should use cookies for small amount of data aimed at remembering your client thats all... If you need more than that have a database or another type of storage. Stay safe and under 4kb of cookie data...