Does anyone have any information on how state is managed in Azure when you choose to have multiple instances? It seems like InProc would be worthless and you would have to have another state server instance, or use the datastore to store the users state across servers.
Or does it implement sticky sessions, so InProc is all you need.
Found the answer here: Azure Forums
Table Storage would be the most logical place. Other server farm type setups also use a database table to store session info.
Take a look at the AspProviders project in the Windows Azure SDK samples. It has a SessionState provider that uses Azure Table Storage.