Personally, I prefer storing sessions in the database because it not only circumvents some of the file access slowdowns associated with using a file-based system, but also gives you more direct and "supervised" methods of managing the direct session data.
Consider, if you implement using MySQL, using the Memory (HEAP) Storage Engine as it will give enormous performance benefits. This, of course, is assuming you are unlikely to have thousands upon thousands of active sessions, and that your session data is "volatile safe," i.e. if a sever crash causes session data to be lost, the worst that should happen will be that users are asked to log back in.