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IE has a very useful (proprietory - slap!) feature called persistence which can use the userdata behaviour that allows you to store quite sizable chunks of information on the client (I think it's up to 512k for trusted sites, and a more reasonable 128k for restricted)
Obviously this is IE only and I wouldn't recommend it unless you really have to and can guarantee a 100% IE audience, or if it just offers useful 'extra' functionality for IE users - I have found it to be very useful in these cases.