In the security department, none of the two are prefered over the other. You should understand that both concepts are basically "sessions", but one is handled in the appdomain, the other is handled in the DB-domain.
Appdomain sessions:
- Faster (No round-tripping to database)
- Not scalable
- Prone to concurrency problems on server farms
- Sessions will be lost on server restart
Database sessions:
- Slower (Roundtrips to the DB for each request)
- Easier to scale on serverfarms
- Sessions will be kept open on server restarts
You should consider how many users will be using your site. If you are looking at a lot, you are probably going to need multiple servers, in which case the database sessions will be your best bet, if you will stay with a single webserver / database server, then appdomain sessions will do fine.