Be aware of the fact that absolute URLs are NOT automatically rewritten to contain the SID. 

Of course, it says so in the documentation ('Passing the Session Id') and of course it makes perfectly sense to have that restriction, but here's what happened to me:
I have been using sessions for quite a while without problems. When I used a global configuration file to be included in all my scripts, it contained a line like this:

$sHomeDirectory = 'http://my.server.com/one/of/my/projects'

which was used to make sure that all automatically generated links had the right prefix (just like $cfg['PmaAbsoluteUri'] works in phpMyAdmin). After introducing that variable, no link would pass the SID anymore, causing every script to return to the login page. It took me hours (!!) to recognize that this wasn't a bug in my code or some misconfiguration in php.ini and then still some more time to find out what it was. The above restriction had completely slipped from my mind (if it ever was there...)

Skipping the 'http:' did the job.

OK, it was my own mistake, of course, but it just shows you how easily one can sabotage his own work for hours... Just don't do it ;)