Here are some guesses why session might be lost.

1. Host must be the same. Example http://www.mysite.com and
http://mysite.com might be 2 different sites. Thus browser does not pass
cookies from one to another. Thus session might be lost. If for example you
logged in into http://mysite.com/login.aspx and then got redirected to
http://www.mysite.com

2. Basically comes from #1. http://www.mysite.com and http://132.234.123.123 
are 2 different sites even if www.mysite.com resolves to 132.234.123.123

3. Application is recycled.
To verify #3 add folowing code to Global.asax   You need to replace last
line clsGlobal.SendEmail with your emailing code.
This will send an email to you with a reason everytime application was
shutdown. Thus you will know.....Unless of course someone pulls a power plug
from the server. Then no email will be sent :)

protected void Application_End(Object sender, EventArgs e)

{

HttpRuntime runtime =
(HttpRuntime)typeof(System.Web.HttpRuntime).InvokeMember("_theRuntime",

BindingFlags.NonPublic | BindingFlags.Static | BindingFlags.GetField, null,
null, null);

if (runtime == null)

return;

string shutDownMessage =
(string)runtime.GetType().InvokeMember("_shutDownMessage",

BindingFlags.NonPublic | BindingFlags.Instance | BindingFlags.GetField,
null, runtime, null);

string shutDownStack =
(string)runtime.GetType().InvokeMember("_shutDownStack",

BindingFlags.NonPublic | BindingFlags.Instance | BindingFlags.GetField,
null, runtime, null);

//send email to me

clsGlobal.SendEmail(String.Format("\r\n\r\n_shutDownMessage={0}\r\n\r\n_shutDownStack={1}",

shutDownMessage,shutDownStack), "Application Shutdown",
youremail@youremail.com, null, null);

}

George

Thank you for your reply and the article link.
I am currently investigating George's suggestion as well

S