session vs. Cookie in server farm

[tdarnallHealth]

An application I currently help design uses session variables highly to maintain data between page hits. We discussed the idea of moving to session cookies (by this I mean memory-resident only cookies) due to the fact we will be deploying this application in an environment having a farm of servers instead of just one. Seeing as the original session variables would tank if a user gets one page from server 1, then the next page from server 2, we need to accomplish this data preserverance in some other manner. Does anyone have any experience in any other manner of maintaining this data. We really dont want to store this data in the DB because we want to limit the amount of hits due to a high end of transactions going on behind to manage other data.

Oh, so, the reason we cant use cookies...in some instances we need to store upwards of 30-40 pieces of data.

Any suggestions?