Another similar SO-thread can be found here.
AllegroServe and Hunchentoot seems to be the most used webservers. Not really frameworks, though. I've got some experience using Hunchentoot w/sbcl and my tests have "proved" it to be both fast and reliable. They've both got session handling.
The author of Hunchentoot has some views on performance as well. Most likely the webserver will not be your bottleneck. If it turns out to be then remember that Hunchentoot is open source :-)
You could also take a look at SymbolicWeb which is more of a framework, but still in its early stages. Other suggestions in the other thread.