You got the right vibe. It is just not necessary in many scenarios. Session state can be easily lost and is often misused for handling logged in user (setting that user is logged in is done by setting Session["IsLoggedIn"] = true or by checking Session["User"] != null, suddenly Session disappears and user is logged out), when forms authentication should be used. Here you can read about forms authentication and storing additional data with it:
Forms Authentication Configuration and Advanced Topics
If you still want to use session, it is good to create wrapper to make it more testable and get rid of strings in code:
Wrapper for ASP.NET Session