Watch out for the FF bug in 1.6.0_03 - 1.6.0_09 (fixed in update 10), where using LiveConnect causes problems: http://bugs.sun.com/view_bug.do?bug_id=6669818
Web browsers may have the following limitations for cookies (according to RFC 2109 section 6.3):
* 300 cookies total
* 20 cookies per domain (per site, not per page)
* 4,096 bytes per cookie (name and value combined)
* Additionally, Internet Explorer allows only 4,096 bytes per domain (!)
Also of course cookies can have limitations on the characters they can use. An easy way around that is to encode data as Base64.
Since there are only 20 cookies per domain, what I do is only store one cookie per game, and that cookie is a Base64-encoded gzipped byte array of tons of data (name, previous scores, sound on/off, etc).
In 6u10, the JNLP API can be used (PersistenceService).