Understand the impact of using Session State on the performance of your application! Example design choices: the landing page for a portal that serves 100,000 users must be able to support high volumes of traffic, with occasional peaks of 100% or more increase. In addition, a portal for publishing information should typically be designed for less reliance on session-style information. Therefore, on such a portal's web application, a sensible design goal is to avoid using session state altogether. Design other web apps that support communities and collaborative sites to use session state (recalling that session state objects are local to individual web applications). To store state on the portal site, turn to other mechanisms such as viewstate or cookies.
This is an extract from MSDN