Your two choices for temporarily storing form data are, first, to store each form's information in session state variable(s) and, second, to pass the form information along using URL parameters. Using Cookies as a potential third option is simply not workable for the simple reason that many of your visitors are likely to have cookies turned off (this doesn't affect session cookies, however). Also, I am assuming by the nature of your question that you do not want to store this information in a database table until it is fully committed.
Using Session variable(s) is the classic solution to this problem but it does suffer from a few drawbacks. Among these are (1) large amounts of data can use up server RAM if you are using inproc session management, (2) sharing session variables across multiple servers in a server farm requires additional considerations, and (3) a professionally-designed app must guard against session expiration (don't just cast a session variable and use it - if the session has expired the cast will throw an error). However, for the vast majority of applications, session variables are unquestionably the way to go.
The alternative is to pass each form's information along in the URL. The primary problem with this approach is that you'll have to be extremely careful about "passing along" information. For example, if you are collecting information in four pages, you would need to collect information in the first, pass it in the URL to the second page where you must store it in that page's viewstate. Then, when calling the third page, you'll collect form data from the second page plus the viewstate variables and encode both in the URL, etc. If you have five or more pages or if the visitor will be jumping around the site, you'll have a real mess on your hands. Keep in mind also that all information will need to A) be serialized to a URL-safe string and B) encoded in such a manner as to prevent simple URL-based hacks (e.g. if you put the price in clear-text and pass it along, someone could change the price). Note that you can reduce some of these problems by creating a kind of "session manager" and have it manage the URL strings for you but you would still have to be extremely sensitive to the possibility that any given link could blow away someone's entire session if it isn't managed properly.
In the end, I use URL variables only for passing along very limited data from one page to the next (e.g. an item's ID as encoded in a link to that item).
Let us assume, then, that you would indeed manage a user's data using the built-in Sessions capability. Why would someone tell you that "Session is evil"? Well, in addition to the memory load, server-farm, and expiration considerations presented above, the primary critique of Session variables that they are, effectively, untyped variables.
Fortunately, prudent use of Session variables can avoid memory problems (big items should be kept in the database anyhow) and if you are running a site large enough to need a server farm, there are plenty of mechanisms available for sharing state built in to ASP.NET (hint: you will not use inproc storage).
To avoid essentially all of the rest of Session's drawbacks, I recommend that implement an object to hold your session data as well as some simple Session object management capabilities. Then build these into a descendent of the Page class and use this descendent Page class for all of your pages. It is then a simple matter to access your Session data via the page class as a set of strongly-typed values. Note that your Object's fields will give you a way to access each of your "session variables" in a strongly typed manner (e.g. one field per variable).
Let me know if this is a straightforward task for you or if you'd like some sample code!