I believe (other may feel free to argue) that the best way is to use PHP4 sessions, with the session information stored in a shared database.
I am sure there is an article here (www.phpbuilder.net) on how to set that up. That way users are not bound to a single server, and no high layer (http) smarts are required from the load balancer. Just have a good speed connection to the DB server from the web servers, the DB hits should not take much time to complete, as they are simple lookups.
This method also makes it easier to bring servers in and out of the cluster without stranding users who's session are tied to the server you are removing.
-Pete