I think you need to be more specific in regards to what you want. If you mean you want to store information about your visitors for use in their session such as their name, address, phone, etc... then session variables or client variables are both good choices. If you mean that you want to store information such as their browser version, IP number, computer OS, first visit, etc.. for YOUR later user then I would recommend storing them in a database. A flat file would work but doesn't make it easy to view the results (unless you like Excel). If your question of "how do I collect and store..." means you want to know how to find their information, check the section on CGI variables in the docs for a good start. If you mean how do you store it once you get it, you would just use a simple <cfquery> to put the variables into a database (or <cffile action="append"...> for a flat file).
If you can be more specific about what you're wanting to do, I could post some example code.
GJ