I have a scenario whereby with every page request I must check the session of the presence of a particular ID. If this is found I must grab a related object from the database an
Yes, this sounds like a good application of an action filter, as you can apply it at the controller level to operate on all actions. You could also make it part of a controller base class, if you didn't want to add it to all controllers manually, or write your own controller factory which automatically applies this action filter to each controller.
See ASP.NET MVC Pass object from Custom Action Filter to Action for passing data from an action filter to an action.