Ask HN: How are other ways of doing sessions, better than using cookies?

Is there any effective and practical way of implementing sessions without using cookies (including the HTTP/2 protocol) ? What are the disadvantages/downsides of using cookies? What are the advantages of other methods over cookies? I do not understand that how other implementations (sending session trackers over URLs, having the application send session trackers over JS+XHR, localstorage etc.) are more advantageous over using cookies. This question stemmed from the following discussion: https://news.ycombinator.com/item?id=9067103 and https://news.ycombinator.com/item?id=9076366