If you are building applications with Windows Azure you will know that your Web Role and Worker Role instances need to be stateless. If you’ve been architecting high scale (read horizontally scaling server farms) then you’ll be used to this concept- you’ll know about the Sql Session state provider and so forth.

If you are using Azure you obviously will not be using the Sql provider. Instead you should look at the AspProvider example in the SDK. This uses Azure Blob and Table storage to store your session state.