A cookie is a small file (limited to a very short amount of text) that a website can store on your computer to remember you, or your site preferences. Then, when you visit the site later, it can read back the cookies to see who you are. That's how MacNN Forums keep track of someone being logged in, for example.
You can only really choose whether to accept or deny cookies, and their contents are generally not human-readable.
A keychain is an encrypted password database that Mac OS stores for you. Web browsers (and other programs) can use it to remember login information for you. For example, your web browser can offer to save a website login in the keychain, but the website knows nothing about this.
The main thing is that a website, not you, save a cookie. The keychain only gets things added when you permit it, and only you (NOT a website!) can permit changes to the keychain.
tooki