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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

+6  A: 

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.

Dennis Palmer
Since you pay per transaction with Table storage, I wonder if SQL Azure would be better from an economical standpoint since you're just paying for bandwidth (in addition to the db itself).
Paperjam
I'm pretty sure Table storage is the more economical choice. 1 GB SQL Azure is $9.99 per month. You can store 1 GB in Table Storage for 15 cents. Transactions are 10,000 for one cent, so with the remaining $9.84, you could get 9.84 million transactions. So, if you're over 10 million transactions per month, then SQL Azure would be cheaper. Data transfer fees are only paid for data in/out of Azure, so session data shouldn't be subject to those costs.
Dennis Palmer
But how do you delete old session information from table and blob storage?
joe