Matthew beat me to it, but yes, see the ASP.NET Cookies Overview…
To write and read a single cookie with multiple key/values, it would look something like this:
HttpCookie cookie = new HttpCookie("mybigcookie");
cookie.Values.Add("name", name);
cookie.Values.Add("address", address);
//get the values out
string name = Request.Cookies["mybigcookie"]["name"];
string address = Request.Cookies["mybigcookie"]["address"];