Sessions are a way of preserving information on a web site between page hits, allowing the programmer to emulate a stateful application when, in fact, web pages are not really stateful.  They are also one of the banes of web development, since sessions eventually timeout when there is no interaction between the user and the web app for a prolonged period of time.  In ASP.NET, this period has a default of 20 minutes, which is really hardly enough time to pick up a donut, refill one's coffee, and chat with fellow workers before returning to one's computer.  What this often means is that the user, upon returning to their computer and continuing work after a 20 minute break will find that all of the data entry they have been doing has been lost.  Worse, strange errors will begin to appear in his web browser if the loss of a session is not handled gracefully.

AJAX Patterns Time Out

Imaginative Universe Session Expired article