What is the best way to determine a session variable is null or empty in C#?

That is pretty much how you do it. However, there is a shorter syntax you can use.

sSession = (string)Session["variable"] ?? "set this";

This is saying if the session variables is null, set sSession to "set this"

It may make things more elegant to wrap it in a property.

string MySessionVar
{
   get{
      return Session["MySessionVar"] ?? String.Empty;
   }
   set{
      Session["MySessionVar"] = value;
   }
}

then you can treat it as a string.

if( String.IsNullOrEmpty( MySessionVar ) )
{
   // do something
}

To follow on from what others have said. I tend to have two layers:

The core layer. This is within a DLL that is added to nearly all web app projects. In this I have a SessionVars class which does the grunt work for Session state getters/setters. It contains code like the following:

public class SessionVar
{
    static HttpSessionState Session
    {
        get
        {
            if (HttpContext.Current == null)
                throw new ApplicationException("No Http Context, No Session to Get!");

            return HttpContext.Current.Session;
        }
    }

    public static T Get<T>(string key)
    {
        if (Session[key] == null)
            return default(T);
        else
            return (T)Session[key];
    }

    public static void Set<T>(string key, T value)
    {
        Session[key] = value;
    }
}

Note the generics for getting any type.

I then also add Getters/Setters for specific types, especially string since I often prefer to work with string.Empty rather than null for variables presented to Users.

e.g:

public static string GetString(string key)
{
    string s = Get<string>(key);
    return s == null ? string.Empty : s;
}

public static void SetString(string key, string value)
{
    Set<string>(key, value);
}

And so on...

I then create wrappers to abstract that away and bring it up to the application model. For example, if we have customer details:

public class CustomerInfo
{
    public string Name
    {
        get
        {
            return SessionVar.GetString("CustomerInfo_Name");
        }
        set
        {
            SessionVar.SetString("CustomerInfo_Name", value);
        }
    }
}

You get the idea right? :)

NOTE: Just had a thought when adding a comment to the accepted answer. Always ensure objects are serializable when storing them in Session when using a state server. It can be all too easy to try and save an object using the generics when on web farm and it go boom. I deploy on a web farm at work so added checks to my code in the core layer to see if the object is serializable, another benefit of encapsulating the Session Getters and Setters :)