Storing Objects in a Session - how much is too much?

I'm using a web service and to avoid duplicate calls to the service I
am caching objects in the session. The object count is probably around
500 max. Is this ok? Is this silly??? Should I be looking at
alternative methods. I'm using ActiveRecord/Database sessions. The
reason I am asking is that I am having memory issues and wondering if
this maybe the cause of it.

Well, first off you probably didn't measure to see if storing in the session (that goes into the same database) is actually faster than just using the database anyway. Second, you're taking the 500 objects and multiplying them by however many users you have, rather than sharing then a more space efficient way.

I'd say rethink this completely, but first just don't worry about it, use the AR cleanly without any caching tricks, then profile your app and tune the parts that are slow.

Just to clarify, I'm not pulling the data from a database connected to
my rails app, I'm pulling the data from an external web service (i.e.
I don't own the data). So yes, definitely pulling the data from the
session is faster than executing another query from the web service.

but you can always store data localy once retrieved...