Given the state of many modern web applications, one of the things that I think surprises many developers when coming to WordPress is that the application is stateless.
That is, it doesn’t maintain any type of session using the conventional PHP $_SESSION utilities. If you’re building a web application on top of WordPress where users will be required to login, you may want to introduce something like this.

At the very least, you may be interested in using cookies to manage certain settings for users who have signed in on the front-end using some type of custom functionality you’ve built.
To that end, here’s how to set cookies in WordPress.
