In-proc session (at least when using IIS6) can recycle at any time and is therefore not very reliable because the sessions will end when the server decides, not when the session actually times out. The sessions will also expire when you deploy a new version of the web site, which is not true of server-based session providers. This can potentially give your users a bad experience if you update in the middle of their session.
Using a Sql Server is the best option because it is possible to have sessions that never expire. However, the cost of the server, disk space, its maintenance, and peformance all have to be considered. I was using one on my E-commerce app for several years until we changed providers to one with very little database space. It was a shame that it had to go.
We have been using the state service for about 3 years now and haven't had any issues. That said, we now have the session timeout set at an hour an in E-commerce that is probably costing us some business vs the never expire model.
When I worked for a large company, we used a clustered SQL Server in another application that was more critical to remain online. We had multiple redundency on every part of the system including the network cards. Keep in mind that adding a state server or service is adding a potential single point of failure for the application unless you go the clustered route, which is more expensive to maintain.
There was also an issue when we first switched to the SQL based approach where binary objects couldn't be serialized into session state. I only had a few and modified the code so it wouldn't need the binary serialization so I could get the site online. However, when I went back to fix the serialization issue a few weeks later, it suddenly didn't exist anymore. I am guessing it was fixed in a Windows Update.