I have sometimes proposed or recommended schemes of storing session information in an HTTP cookie, encoded and protected by cryptographic digest. I know some people on this list have implemented similar schemes, but I have never actually had occasion to do so. Now I am doing that, and I realize the chief drawback to this scheme: all session information has to be set before generating any HTML output. The chief advantage is no requirement for server-side storage of session.
For certain applications, saving all output until the session is serialized may significantly increase the latency of the first data packet in the HTTP response. -jwb