I've always been surprised that Microsoft never offered a distributed caching mechanism out of the box.  Their built-in ASP.NET caching works well, but only on one box.  memcached can run on Windows boxes, but for all intents and purposes, you're on your own if you choose to implement it.  There is at least one third party product I know of that can fill this space, but it is quite pricey.  Today, at last, Microsoft has announced a project codenamed "Velocity" that will be their distributed caching story for .NET:

Project “Velocity” is a distributed in-memory application cache platform for developing scalable, available, and high-performance applications. “Velocity” fuses memory across multiple computers to give a single unified cache view to applications.

Even though I have no immediate use for distributed caching, I certainly see the need for it.  I can't wait to muck around with it and see what it can do.