SharePoint 2010 have Session State disable by default, in contrast, SharePoint 2007 has Session State enabled by default.
why? does not SharePoint 2010 need any session state?
but first, what is the session state? Session state is a part of state management. State management is the information that ASP .Net need before processing page request, i,e, what is the values of controls or variable on the page? Those infomation is normally handled by mechanics such as View State, Query String, Hidden Fields.. Those are called client side mechanics because the data is stored at client side. Session State is different in that it is server side (only session id is sent to client via cookie or query string) and its main purpose is to remember if a request is a new or existing one by session ID.
So why SharePoint 2010 don't need session id? SharePont Form service needs session state (SP State Service) in the scenario of multi-page forms, other than that SharePoint doesn't need to track session ID in general. Turning on Session state can potentially degrade performance as SharePoint does not automatically remove old session state records from the session state database tables, and there is only one session database for sharepoint farmwise. see Todd Carter's blog for cautions while using SharePoint Session.
what is the implication of this new setting in sharepoint 2010? It now becomes recommendation that affinity or Sticky session be set for Load Balancer. See this blog from SharePoint Joe.