For frequently-used data but relatively unchanging data, such as names ("Hello, $firstname, welcome back") that would be used on every page request, you probably should cache them in the session. The slight additional parsing/loading overhead will be far less than having to yank that data out of the DB each time.
For relatively critical data, e.g. 'account is disabled', you may want to hit the database each time. However, this would depend on your security needs. If it's ok for a banned user to be able to wander around your system for a short period after their account is disabled, you can implement a time-out counter in the session, e.g. after every 50 hits, you refresh the data in the session regardless.