Should I store objects in session/application scope?

NO.  
 
Many people seem tempted to store objects in the session, so that they don't have to create instances on each page. This is particularly true for connection objects and recordsets. 
 
They assume this is more efficient, but it is not. This is the absolute worst use of resources you can have (particularly with ADO objects) and will significantly reduce your application's scalability. See these articles for more details: 
 
    KB #258939 Recommendations for Connecting to Databases Through IIS 
 
    http://www.microsoft.com/mind/1198/ado/a... (tip #6) 
 
    KB #176056 INFO: ADO/ASP Scalability FAQ 
 
Here are some other KB articles that should help clarify the issues at hand (I hope you didn't expect this to be light reading): 
 
    KB #243544 INFO: Component Threading Model Summary Under Active Server Page 
 
    KB #191979 PRB: VB Component Not Marked Apartment Produces ASP 0115 Error 
 
    KB #243548 Design Guidelines for VB Components Under ASP 
 
    KB #243543 Single-Threaded Apartment Objects in Session or Application 
 
Also, some gratuitous stuff from Charles Carroll: 
 
    Session Overview &am... 
 
    Databases & ... 
 
    Global.asa Overkill 
 
Another possible outcome of storing an improperly threaded object in session or application scope is the following: 
 

<object> error '8001010E'  The application called an interface that was marshalled for a different thread.

 
Make sure that your object is explicitly written for this scope before you attempt to utilize it this way. (Hint: no VB6 object is threaded correctly for use in session / application scope.) 
 
Note that it is possible to safely store a recordset in the session, by first converting it to its array form using GetRows(). See Article #2467 for an article on using GetRows(). 
 
There is at least one exception to this 'rule' - it is acceptable to store the free-threaded version of the MSXML DOM Document object in application scope, for example: 
 

<%      Set DOM = CreateObject("MSXML2.FreeThreadedDOMDocument")      DOM.loadXML "<somexml><somenode/></somexml>"      Set Application("DOM") = DOM  %>