Current recommendation for enabling session in Azure Websites for Session variables and TempData?
If you have more than one instance of an Azure Web Site, sticky sessions are enabled by default by the load balancer. This means that a user will be directed to the same instance (server) and that you'll be able to use session state in your app.
You may also find the Distributed Caching section (Ch 12) of this ebook helpful http://aka.ms/CloudApps_PDF