Please don't use session cookies
Recently I have become quite irritated at a couple of websites that I visit regularly. See, they have a membership system, and I'm a duly paid member (I like them and it has some benefits (that I rarely use)), and they recently switched to using session cookies for logins. Which means that every day when I visit, I get to make a time-wasting detour through their login page.
It's tempting to think that if you use session cookies, the users are 'more secure' than if you give your cookies an explicit expiry time because they will expire sooner. This is clearly false: as implied by the name, session cookies last for the entire browser session, however long that is. It could be minutes, but it could also be weeks (and yes, I know people who keep their browsers around that long, myself included).
(RFC 2965 session cookies can have an explicit expiry time, but I don't know how widely they're supported. Original style session cookies are created by omitting the expiry time when you set them (cf RFC 2109).)
If your security needs really require people's sessions to expire relatively rapidly, you need to do this on the server end: have a maximum idle time or a maximum duration (or both). You can use session cookies too, but you should consider them only an extra bit of safety for the user.
(Hint: if you think your security needs require this and you are not using https, I am going to laugh at you.)
In fact, if your security needs require people's sessions to expire at all, you need to use explicit timers (on your end). Otherwise you might as well serve up persistent cookies with a conveniently large expiry time. (DWiki uses a year.)
One reason to consider using session cookies
Apparently, some people and some browsers are more willing to accept session cookies than persistent cookies (an issue brought to my attention by Tom Boutell).
However, if you're using session cookies for this reason, please send both a session cookie and a persistent cookie, and consider the user logged in if you see either cookie. That way you are not inconveniencing the people who are willing to accept your persistent cookies.
(If you see only the persistent cookie, don't try to reissue the session cookie; it's pointless and will annoy the user in some browser configurations.)