You're most likely using this on a local file over the file:// URI scheme, which cannot have cookies set. Put it on a local server so you can use http://localhost.
One kind of workaround below using a local storage is to running Chrome with --allow-file-access-from-files (with s at the end), but only one instance of Chrome is allowed, which is not too convenient for me. For this reason i'm using Chrome Canary, with file access allowed.