When you are considering deploying your ASP.Net application in a Web Farm via Windows Network Load Balancing Serivice in Win 2003 you can use affinity option Single or Class C in your NLB to route the request back to the same server. This option can provide you with the following benefits

Single affinity is the most common selection when applications require that information about the user state be maintained across TCP/Http connections. Examples of these types of applications include applications that use SSL or applications that retain user information, such as e-commerce shopping cart applications.Applications that use SSL with Single affinity are efficient because the SSL session IDs are reused. Negotiating a new SSL session ID requires five times the amount of overhead as reusing a SSL session ID. Although negotiating the SSL session ID is transparent to the client, the cumulative increase in overhead could degrade the performance of the cluster.

Applications that retain user information can resolve the affinity requirement by using Network Load Balancing affinity or by using a common session state database or server. Applications that have a common session state database or server are combined with cookie-based affinity to allow any cluster host to restore the appropriate session state. If an application has a common session state database or server, you can select a port rule affinity of None if SSL is not part of the solution.