First of all to give you a bit of background on the current environment. We have a number of ASP.NET applications, all of which use session for certain aspects. We are \"L
In my experience we've found out that native state server or even using SQL Server for sessions is a very scary scenario as both have issues (mainly performance). By the way, we are also using sticky sessions.
I think you can explore other products for this to achive the absolute best. A free option would be Velocity but it is still not released. And another comprehensive but proven product will be (Very expensive actually) NCache. THis will even help in your serilizations with less cost, If you use their API's it will be even better results.
Take a look and see which looks best for you.
About SQL Server, you server will die very soon if you have enough number of hits coming in (I belive you have some hits already which yielded you to do Web Farm or you do it just for the sake of redundancy)
Bottom line: We are evaluating Velocity because NCAchce is really expensive. However advantages are huge.