One addition over this post is that sessions can also be used in WCF via the asp.net compatibility mode. Here, the way to access the session is:
In this mode the session is implemented via an HTTP cookie - exactly as with classic .Net 2.0 web services / asp.net. This means that this mode is available only when hosting in IIS and using HTTP transport. This mode should be used in case backward compatibility with an old service/client is required. It should not be used with new services as it adds some overhead to the pipeline.