Session performance

Hello all, I was wondering... Why session data are stored on files rather than in on memory? People have been telling that acessing session data can be slow, and I need some kind of (fast) caching mechanism to store application data. After some search I found some php code that handles the session with a mysql database. But still, I don't know how fast (or slow) this can be. In general, I will need to cache data (some objects...sometimes kindda big) on, basically, every request and the fact that session data are stored in files scares me a bit. And one more thing...php5 has the same php4 session mechanism??