While working on one ASP.NET project hosted within web farm including two front ends and load balancing, we got one issue regarding ASP.NET session state while being set to be \
See my answer here regarding things to keep in mind with session state.
It references this article that has lots of good information on session state.
On my development server, I've configured IIS to use 3 worker processes (web garden) as a poor mans test for our load balanced environment, worked a treat.
We dont use session/application data. Our load balancer is configured with address affinity, so requests from the same IP go to the same server, thus allowing us to cache some user data. Our biggest gotcha was with cached data across the farm not being in sync, solved by wrapping the cache with a simple network library to send 'cached item changed' messages to other servers.
There are LOTS of things that you need to take into consideration. Here is an article which goes over the many considerations when moving into a distributed environment:
http://eralokpandey.wordpress.com/2010/03/31/load-balancing-in-asp-net-and-web-farm/
Although I never used it, I found out that the articles of Omar Al Zabir over at CodeProject.com seem to be rather helpful.
His article "99.99% available ASP.NET and SQL Server SaaS Production Architecture" covers some load balancing topics.
Microsoft offers some guidance on this. They have a knowledge base article with links to other resources you'll need.
http://support.microsoft.com/kb/815162
Oh, and as always, ScottGu has an excellent article and a cooler way of doing it. I just found this and it looks very promising: The Microsoft Web Farm Framework http://weblogs.asp.net/scottgu/archive/2010/09/08/introducing-the-microsoft-web-farm-framework.aspx
and the more recent Web Farm Framework Site has plenty of resources available. http://www.iis.net/download/webfarmframework