On the PHPFreaks website, there's a new tutorial talking about sessions and cookies in PHP:

HTTP is a stateless protocol. This means that each request is handled independently of all the other requests and it means that a server or a script cannot remember if a user has been there before. However, knowing if a user has been there before is often required and therefore something known as cookies and sessions have been implemented in order to cope with that problem.

The tutorial is pretty introductory, so if you're not new to the PHP world, you won't learn much. New developers, though, will learn how to set cookies, use sessions and learn a bit about the security of both.