Unfortunately, after pulling my hair out trying to figure out why my application was working fine in every browser other than IE ( Internet Explorer) (Opera, Chrome, Firefox, Safari are what I've tested this in) - when using a DNS CNAME record (like a vanity name that is different from the DNS A record, which is the hostname of the server) sessions do not work correctly.
If you store a session var while on the CNAME:
vanity.example.com and the hostname of the server is hosname.example.com
Then try to call the variable from a different page, it will not find it because of the CNAME (I guess it store the variable under the hostname, then when trying to read it it's still looking under the CNAME) the same application works fine when accessing it under the hostname directly. Keep in mind that I was testing this on an internal network.