LOL, not sure why this wasn't mentioned sooner, but here is the Wiki all about computer(networking mostly) sessions. Generally sessions are now used in place of cookies, was they help deal with security issues and even allow for break through ways of using web software. For instance, you might have a sight that saves user data (with permission of course) such as computer they are on. Then based on their login from specific comps tied to their account you can maintain an active session (that acts like a cookie, except server side) across all their logins, thus allowing the user to be MUCH more flexible in use of your web-app. But that is really only 1 small and really poor example, fact is, anything you ever wanted to do with a cookie is pretty much replaced by use of sessions, as sessions are faster, more reliable, and as secure or insecure as you, the programmer, wants them to be.
Secondly, if you're looking to make better use of sessions through PHP then please allow me to recommend using CodeIgniter as it makes using sessions with good security an absolute breeze! Not to mention a very easy to use sight of documentation. Probably one of the best web-sight documentations of a library I've ever seen. It makes MSDN for .Net look like it was written by a 5th grader.
Of course, this is not all session types, I should probably mention, there are TelNet sessions, IP sessions, and more! Pretty much anything in networking has a session protocall, but it's most often seen in Web use now days as, and I mentioned before, it's the best new thing to hit web apps since sliced cookies!
It won't let me post more links but you can find a ton more info in the links I gave above and more CI's download at codeigniter.com