>>Another thing to consider is to use the ASP.Net State Service which is considerably more performant than going to SQL Server as it's optimized to storing state data.
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>Actually, not that much... most of the overhead is in the serialization and going out of process. The web cast I refered Carl Olson to has some performance comparisons between these scenerios, and byfar an InProc session ruled... to the point of this guy recommending sticky IP's over SessionServer/SQL for this.

InProc is bound to be faster because it's local. However, if you run stateserver local you'll find it's not much slower than InProc - the overhead is more in the network connection than anything else I think.

InProc has many problems including the fact that ASP.Net applications restart anytime you touch web.config or update the DLL that contains your global.asax code.