Internet Explorer pioneered a great security feature for cookies called HTTPOnly, when this flag is set the browser does not allow JavaScript to access the cookie. Now that all modern browsers support this flag it can reduce the risk of session hijacking due to cross site scripting.

As you are probably aware ColdFusion allows you to use the integrated J2EE sessions that are provided as part of the J2EE server (by enabling the Use J2EE session variables setting in ColdFusion Administrator).