Depende del navegador. En Internet Explorer algunas de las contraseñas sí se guardan en el registro:
AutoComplete Passwords: These passwords are saved in the following location in the Registry: HKEY_CURRENT_USER\Software\Microsoft\Internet Explorer\IntelliForms\Storage2 The passwords are encrypted with the URL of the Web sites that asked for the passwords, and thus they can only be recovered if the URLs are stored in the history file. If you clear the history file, IE PassView won't be able to recover the passwords until you visit again the Web sites that asked for the passwords. Alternatively, you can add a list of URLs of Web sites that requires user name/password into the Web sites file.
Otras se guardan en ciertos ficheros del perfil del usuario:
HTTP Authentication Passwords: These passwords are stored in the Credentials file under Documents and Settings\Application Data\Microsoft\Credentials, together with login passwords of LAN computers and other passwords. Due to security limitations, IE PassView can recover these passwords only if you have administrator rights.
No quería decir que las contraseñas se guardasen en las cookies, sino que su desaparición podía estar relacionada con el mal uso de programas de limpieza que suelen borrar datos de los navegadores (como las cookies). Me doy cuenta ahora que la frase puede tener un sentido ambiguo, pero tú en vez de corregirlo has preferido reirte. Eso dice mucho de ti.