What kind of server do you people see in real projects?
1) Web Services MUST be stateless: Basically you must send username/password with every request, every request must use HTTPS and I will authenticate and load the User object everytime if needed.
2) A Session for Web Services: like in a web container so I can at least save the authenticated User object and have something similar to a session ID so I don't need to authenticate, load and check the User on every request.
3) Sticky Service (persistent service across requests): https://jax-ws.dev.java.net/nonav/2.1/docs/statefulWebservice.html
I understand the scalability problems of stateful services (and of web application sessions), but sometimes you must have some kind of state, for example for a shopping cart. But you can also put this state in the database (use the back-end as a kind of session argh) or passing the entire state to the client (the client becomes responsible for resending the entire shopping cart).
The truth is, at least for web applications, the session helps a lot in many situations. Scalability issues can be ignored if your system accepts that "the user must start over doing whatever he is doing if his web server happens to go down" or you can try a session cluster if that's unacceptable.
How it is for web services? I am inclined to conclude that web services are very different than web applications and accept option 1) (always stateless), but it would be nice to hear other opinions based on real project experience.
While it's only a small difference but it should still be mentioned:
It's not state in web services that kill scalability, rather it's state on the App Server that's hosting the web services that will kill scalability. The moment you say that this user needs to access this server (as done in sticky sessions) you are effectively limiting your scalability options. The point you want to get to is that 'Any of your free load-balanced App servers' can handle this web service request and if I add 1 more App Server I should be able to handle % more users.
It's totally fine (and personally recommended) if you want to maintain state to pass in an authentication token and on each request get the service to retrieve your 'state' from a data store (preferably a redundant and partitioned one, e.g. distributed+replicated key/value data store). That's how Amazon does it with SimpleDb and Google with BigTable.
Ebay takes a slightly different approach and stores most of the clients state in a cookie so it gets passed in with every request. Although it generates a lot more traffic, it still scalable as any of their servers can still handle the request.
If you want a scalable data store I would recommend looking at redis it has speed and features that can't be beat in a key/value data store.
You should also check out highscalability.com if you want access to good material on how to build fast and scalable services.