One possibility I can think of is if you have the requireSSL="true" on the forms element in Web.config and you don't have ssl enabled then cookies will not be passed between the browser and server. This attribute ensures cookies are only passed using SSL.
You'll notice on this site we ahve it configured that way to protect cookies, if you go to a non https url you will not appear to be logged in but if you come back to https the cookies are passed and you are logged in (assuming you have actually logged in)
Hope that helps,
Joe