The question is: How is the design of you application? Do you "hit" the DB anyway perhaps, then the obvious choice is to store everything there anyway?
Are you aware that the alternative means hitting the server's filesystem (assuming that you use PHP's built in session handling), since the session data is stored in a textfile there?
Security wise the only difference is when someone gets access to the session files on the server. Then encrypting all data in it will provide extra security.
Bjom