I guess one advantage of not using cookies, is you can maintain sessions on devices that do not accept cookies, such as pda's and phones.
The biggest disadvantage is the ease in which a session can be hijacked.
If, for example, you cut and paste the URL and email it to another person, they will have your session. Its a rather simplistic example, but is a threat I would consider, especially if you have personal information on your site.
Here is a good article outlining good web session security. It may be a little overkill, but great reading.
Update: To help cover against the hijacking, a different token should be used for every page sent.
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