AppFabric Cache just went into production, and this is an excellent way to manage session data. In fact, it has a custom session state provider that simply drops into web.config. You'll find it in the Azure portal.
All info around cache sizes, pricing, and SLA is here.
Edit: Windows Azure Web Role templates now include the new ASP.NET Universal Providers, including a Session State provider that supports SQL Azure. Take a look at Nate Totten's blog post for more details.
EDIT 7/8/2012 Windows Azure now provides both a Cache Role and in-memory cache (both easily configurable with the latest tools and v1.7 SDK). The in-memory cache spreads cache across one of your existing roles instances, utilizing a set percentage of RAM (nice "free" option if you don't need much RAM in your app).