From Visual Studio Magazine. Two things need to be in sync when using SQL Server Session State across multiple machines in a web farm.

#1 - all machines must have a consistent "machine key" machine.config.

#2 - the application path for all web sites on all machines must be the same in the IIS metabase.
(i.e. \LM\W3SVC\2 )
If one machine has more web sites than the others, it's likely to have different application paths. You have to tweak the IIS metabase to fix this.

See KB article 325056 for info.