Off the cuff, I would probably recommended cookies, but it depends on what browser your users are using and how you want to render your message.
Cookies are better for a wider audience, because all browsers support them.
Older browsers like IE 6 and 7 don't support local storage. Cookies can be manipulated server side too. So if the message you want to display is rendered server side then cookies might be a better option.
Local storage is a little bit easier to access via JavaScript, but there are not many advantages to using it.