Like the other GoPros, the Session takes microSD cards. Unlike the entry-level HERO, it also works with microSDXC cards, or in other words it is limited to only cards 32GB or smaller.
The card slot is behind a spring-loaded trap door, next to the micro USB input. The card goes in at an odd angle, and it can be a bit finicky to get in and out. It’ll be interesting to see whether we get any reports of the cover door snapping off as more users start using the Session. The door is very lightweight and could easily be snapped off if you’re not careful. Importantly, the door has a white rubber seal mounted on its inside, so if the door breaks off the camera isn’t going to be waterproof anymore. That seems like a potential weak link.