Drupal tries to cater to 80% of the market by taking most decisions for you. Generally this is a good idea. But if you fall in the remaining 20% then you need to get your hands dirty and start hacking around. Drupal by default stores all sessions in the database. This is a good idea if your site does not get a lot of load. But as your site starts growing, this will soon become a major bottleneck. Storing sessions in memcache works best in such situations. Not only is memcache easy to maintain, install and work with, but also provides in depth stats about itself.