http://support.microsoft.com/kb/317604
Typically We used in-proc mode to store asp.net session state, but ,sometimes we can not use the mode for some desire .
like using Load balance or use long timeout session . so . we need out-proc mode to make it out .
usually we could use a state server or sql server to store the session state . in the article . I am talking about the laste one .
If you are using windows azure cloud services web role in your application. you should use the sql azure to make it .
here is a good tutorial for this.http://blogs.msdn.com/b/sqlazure/archive/2010/08/04/10046103.aspx