setinfo is a console command that creates a new console variable. The variable and its value will be preserved across map loads, and (possibly to your downfall) game saves. There doesn't seem to be a way to mark one as a cheat.
To do: Can it be used for commands too, in some way?
setinfo VAR VALUE
If you wanted to make a variable to count how many NPCs you kill, you could type
setinfo mykills 0. (Or you can set it to any impressive number ;) )
mykills would become a variable just like anything else, such as
Convar VAR is already registered but not as user info value
If you see this in the console, it means you tried to set a console variable that already exists, such as
incrementvar, a convenient command for counting things.