AWS : Storing Session State

AWS SimpleDB, Memcache and DynamoDB can all be used.  DynamoDB is a good option as there is already a session provider for DynamoDB :

http://aws.typepad.com/aws/2012/09/managing-aspnet-session-state-with-dynamodb.html

For SQL Server, you can also look at session management in SQL server for persistence  and use built in .net session provider modules.

You can also manage session state using AWS RDS for SQL Server, MySQL or Oracle.

AWS security with iptables

AWS Security Groups are one of the key ways to secure your AWS environment. IPtables add another layer of security on top of Security Groups.   For example, security groups are not state-sensitive, you cannot have them respond automatically to an attack for instance. IPTables are well suited to more dynamic rules - either adapting to certain scenarios, or providing finer grained conditional control.