You really don't want to store information in cookies for a few reason:
1) Cookies are expensive -- the entire contents are sent both ways with every request.
2) Cookies are hackable -- unless you are encrypting things in your application everything is sent in the clear.
A much better option for ASP.NET is to use the User Profile, it is baked in and can be made to work with anonomous users as well. If you are rolling your own solution, the better method is to just use an identifier and store the data in a database.