There's a currently undocumented variable that is now available (you can see it in php_info()) for session handling:
memcache.session_redundancy
The default seems to be "2", and it is supposed to influence how many copies of a particular session object that Memcache will store for failover purposes (so with a redundancy of 2, it will store a session on 2 different shards).
This will add slight overhead with extra writes, but overall seems worth it for purposes of failover.