One of the very tricky issues i have seen in the recent past are session loss issues due to application domain recycle. The issue becomes tricky in terms of data collection and how to further look into it. In the below link i have provided more information on what is application domain recycle and how you can determine if the session loss is happening because of application domain recycling. Also i have discussed the common reasons for application domain recyling and the precautionary measures to be taken so that we don’t end up facing app domain recycling issues.
Hope this helps