There is a good overview on ASP.NET Session here: ASP.NET Session State.

If you don't have thousands of clients, but need "some state" stored server-side, this is very easy to use and works well. It can also be stored in the database in multi server scenarios, without changing a line in your code, just by configuration.

My advise would be not to store "big", or full object hierarchies in there, as storing in a session (if the session is shared among servers in a web farm in a database for example) can be somewhat costy. If you plan to have only one server, this is not really a problem, but you have to know that you won't be able to easily move to a multiple server mode easily.

The worst thing to do is follow the guys who just say "session is bad, whooooo!", don't use it, and eventually rewrite your own system. If you need it, use it :-)