Game save system

I want to make a save system for my game so that the player doesnt have to play the game all in one go.

I know it is possible to do this with cookies, but there are problems with this, like people clearing them and therefore losing there saved game.

I was wondering if there is a better method of saving a game.

I have looked over this site and others, but havent found anything.

A tutorial on this would be fantastic.

Dhryn