That is entirely up to you. Many users will want their information saved so they can visit in the future and still be logged in. This site uses both Sessions and Cookies to save users information... a standard method for all sites that require a login.
The Business Directory uses Unexpiring Sessions. This means you will remain logged in to the directory until you manually log out (deleting the current session), or clearing the history in your browser.
The Marketplace uses both Sessions and Cookies. Sessions expire when you go away from the page, Cookies will store a small text (.txt) file on your computer with login information. Both the site and the browser will give you the option to remain logged in, or easy login (at the browser level).
Both Session and Cookie activity remain inside the Site Security methods so your information remains safe.
For more information, see the Site Security section.