There are a few options now -
1) Check out azuresqlsession.codeplex.com - a custom session provider that works with SQL Azure. It's much faster than the custom provider Microsoft wrote that works with azure table storage.
2) There's also "AppFabric Caching" - a distributed cache that runs in the azure data centers. Microsoft also wrote a custom session provider that works with AppFabric Caching. Currently it's in CTP and you can get it here - portal.appfabriclabs.com - there's a good overview on how to use it here - http://blogs.msdn.com/b/windowsazureappfabric/archive/2010/10/28/introduction-to-windows-azure-appfabric-caching-ctp.aspx?wa=wsignin1.0 - and also in the azure sdk 1.3 labs.
I realize the question was asked a while back - I just thought I'd update it if someone stumbled upon the question after a google/bing search.
Good times!
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