ASP.NET Cookies and Sessions Tutorials
A Cookie is a small text file that the browser creates and stores on the hard drive of your machine. Cookie is just one or more pieces of information stored as text strings. A Web server sends you a cookie and the browser stores it. The browser then returns the cookie to the server the next time the page is referenced. The most common use of a cookie is to store information about the user and preferences the user makes.
Sessions stored in a computer's memory for remembering preferences during a web site visit that is flushed on leaving the site.
The Key difference would be cookies are stored in your hard disk whereas a session aren't stored in your hard disk. Sessions are basically like tokens, which are generated at authentication. A session is available as long as the browser is opened.