In this recent article from ServerSide Magazine they look at a security issue that can be hard to detect if you're not sure what you're looking for - session hijacking - and how you can help to prevent it on your site.
A must have for the attacker in a session hijack is the Session Identifier so he can impersonate the attack. Let's presume for example that you have your website hosted on a shared hosting on which PHP is installed as an Apache module, thing that makes session files belong to the web user, in other words: accessible.
He breaks it out into three potential kinds of session hijack methods - prediction, capture and fixation - with definitions for each. He also makes recommendations of some secure practices to follow to help prevent some of these issues (like not trusting users, using $_COOKIE and $_SESSION correctly and using a security token too along with the session ID).