The filesystem backend is only worth looking at if you’re not going to use a database for any other part of your system. If you are using a database then the filesystem backend has nothing to recommend it.
The memcache backend is much quicker than the database backend, but you run the risk of a session being purged and some of your session data being lost.
If you’re a really, really high traffic website and code carefully so you can cope with losing a session then use memcache. If you’re not using a database use the file system cache, but the default database backend is the best, safest and simplest option in almost all cases.