Burp Sequencer is a statistical analysis tool that lets you collect a large amount of values, such as session IDs, and perform calculations on them to evaluate if they are being randomly generated, or maybe just obfuscated or encoded. This is useful when dealing with complex session cookies, as it gives you an idea of how the cookies are being generated and if there is some way of attacking or predicting them.
To use Burp Sequencer, you first need to find the response that sets the session cookie. It's usually the response to a successful login with a Set-Cookie header. In the following screenshot, you can see the response that sets a session cookie (WEAKID) for the WebGoat's session ...