Advantages:
Session provide us the way of maintain user state/data.
It is very easy to implement.
One big advantage of session is that we can store any kind of object in it. :eg, datatabe, dataset.. etc
By using session we don't need to worry about data collesp, because it store every client data separately.
Session is secure and transparent from the user.
Disadvantages:
Performance overhead in case of large volumes of data/user, because session data is stored in server memory.
Overhead involved in serializing and de-serializing session data, because in the case of StateServer and SQLServer session modes, we need to serialize the objects before storing them.