Drupal version: 5.3
Captcha module version: 5.x-3.1
The current version of Captcha doesnot work with Page cache enabled. This could be a big disadvantage in a large site with many pages. To resolve the same and cache the page content we could apply the below patch.
Refer patch at http://drupal.org/node/602226.
We could furthur enhance and work towards removing session for anonymous user entirely and cache the captcha along with the page cache, refersh it only when used. Any suggestions.