If you are on a shared server and use the default PHP session directory, it is pretty easy for anyone else with an account on that server to view your session data. In such a case, you may want to look into using a database-driven session data mechanism, or at least specify a different session data directory for your scripts. If you are on a dedicated server, this is much less of an issue, as only someone who has broken your server security (cracking a server login account/password, uploading a malicious script, etc.) would be able to view your session data.
But remember that security is a many-layered problem. If you are dealing with sensitive data, then you should be using a SSL connection on your site to make life harder for network sniffers. You should very carefully control the database users/passwords so that some nasty person is not able to access your database and read the user tables at his leisure, then use brute force scripts to decrypt your users' passwords. Likewise you need to carefully control access to server and FTP logins/passwords. If you don't do these things, how you handle session data may be the least of your worries.