Here’s a common issue when trying to view a report in Access Services on SharePoint 2010.
You’ve published your database to SharePoint, and your forms work fine. However viewing a report results in the following error: This report failed to load because session state is not turned on. Contact your SharePoint farm administrator.

At first I thought this a little odd since in Central administration/Manage service applications I do have a State Service Application:

However the above application is used only internally. What Access Services actually wants is an ASP.net session state database.
A SharePoint Powershell cmdlet makes it easy to set this up. Start the SharePoint 2010 Management Shell and type
Enable-SPSessionStateService –DatabaseName YourChosenDBName

Note that is possible to specify –DefaultProvision as a parameter instead of explicitly specifying a database name, but if you use this parameter you will end up with a database name containing a GUID – yuk! With the approach shown above you instead get a nice database name:

Note also here that you can see the database we have just created as well as the State Service database used internally by SharePoint.
The article referenced below also mentions editing web.config but I have not found this to be necessary. Also as detailed in some of the comments on that article, it is important to consider the performance impact of ASP.net session state – fine for a low volume internal site, but more care needed on high volume sites. ASP.net session state is scoped to the web application so this could be a consideration when determining your web applications as part of your information architecture.
This detailed article by Mark Arend gives more information on setting up ASP.net session state.
http://blogs.msdn.com/b/markarend/archive/2010/05/27/using-session-state-in-sharepoint-2010.aspx
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