Use SSL when authenticating users or performing sensitive operations.
Regenerate the session id whenever the security level changes (such as logging in). You can even regenerate the session id every request if you wish.
Have sessions time out
Don't use register globals
Store authentication details on the server. That is, don't send details such as username in the cookie.
Check the $_SERVER['HTTP_USER_AGENT']. This adds a small barrier to session hijacking. You can also check the IP address. But this causes problems for users that have changing IP address due to load balancing on multiple internet connections etc (which is the case in our environment here).
Lock down access to the sessions on the file system or use custom session handling
For sensitive operations consider requiring logged in users to provide their authenication details again