At least 2 comes into my mind:
- some browsers have its own limits of cookie size (old versions of Mozilla and some *nix browsers)
- IE6 and 7 has a known problem of cookies not saving when they run out of Temporary Internet Files storage limit
Chances of experiencing these might be low, but if the form is vital, like service order form and saving form state is critical - it would be wise to spend more time on development than debug 'strange' bug later, IMO.