$_SESSION is stored on your webserver, so it's not possible to directly alter it via the web. Of course, your PHP application can update $_SESSION, so it still might be possible for an attacker to trick your application into doing something to $_SESSION that it shouldn't - it all depends on the specifics of your application.
$_COOKIE is stored on the user's browser, which means that the user has the power to change their own cookies.
One of the main uses for cookies is authentication. A user logs in and information is stored in $_SESSION. A cookie (stored in $_COOKIE) records the session id of the user so that your application knows which session belongs to the logged-in user.