HttpSession / Cookie / URL Rewriting - Which is Preffered??

Dear All,
Hey,
I am currently working with 'Session Management' in servlets. My book talks about three different
techniques to achieve session management.
1) Simple Session tracking by using an object of HttpSession
2) By using object of Cookie
3) By URL Rewriting / embedding the session info in the response
Keeping in mind real world application. Which of the three are preffered? I am finding myself
quite comfortable in working with option 1) and 3) in the small codes (like those given in the
book).
Is it important to master the cookie based technique also, if yes, then can anybody give me a url
of it's tutorial. My book does not talk about cookies much except for retrieving them from the
clients browser.
Thanks in advance.
Bye,
Tualha Khan

"Lesson: Saving Client State" in

http://java.sun.com/docs/books/tutorial/servlets/client-state/index.html