As anything else this is always a trade off. I would suggest to use inproc
until you know why you would want another one (load balancing, surviving to
restarts etc...).

--
Patrice

InProc is best when:
    1) You don't have a lot of simultaneous users (1000+)
    2) You don't have a server farm
    3) You don't have a lot of data to store per user

Out of Proc (StateServer) is next best when you exceed the above
limitations, but:
    1) Your "session stated" data is not that important to need SQL
persistence.
    2) You don't mind losing the data if the server restarts
    3) You need faster performance than SQL Server gives you
   

Out of Proc (SQL) is best choice for out of Proc because:
    1) SQL Persistence gives you reliable storage

Keep in mind that the performance goes from (best to worst)
InProc->StateServer->SQL

Steve C.
MCAD,MCSE,MCP+I,CNE,CNA,CCNA