I am writing this for the benefit of anyone else who, like me, goes to Google before checking their logs!

When I switched shared session state to OutProc (using the MongoDB provider), I got the following error:

Tracker.Current is not initialized

Description: An unhandled exception occurred during the execution of the current web request. Please review the stack trace for more information about the error and where it originated in the code. 

Exception Details: System.InvalidOperationException: Tracker.Current is not initialized

Source Error: 

An unhandled exception was generated during the execution of the current web request. Information regarding the origin and location of the exception can be identified using the exception stack trace below.

Stack Trace: 

[InvalidOperationException: Tracker.Current is not initialized]
   Sitecore.Analytics.Pipelines.StartAnalytics.StartTracking.Process(PipelineArgs args) +304
   (Object , Object[] ) +74
   Sitecore.Pipelines.CorePipeline.Run(PipelineArgs args) +484
   Sitecore.Analytics.Pipelines.StartAnalytics.StartAnalyticsPipeline.Run() +293
   Sitecore.Mvc.Analytics.Pipelines.MvcEvents.RequestBegin.StartTracking.Process(RequestBeginArgs args) +139
   (Object , Object[] ) +74
   Sitecore.Pipelines.CorePipeline.Run(PipelineArgs args) +484
   Sitecore.Mvc.Pipelines.PipelineService.RunPipeline(String pipelineName, TArgs args) +184
   Sitecore.Mvc.Routing.RouteHttpHandler.BeginProcessRequest(HttpContext context, AsyncCallback cb, Object extraData) +74
   System.Web.CallHandlerExecutionStep.System.Web.HttpApplication.IExecutionStep.Execute() +921
   System.Web.HttpApplication.ExecuteStep(IExecutionStep step, Boolean& completedSynchronously) +137

In my case, it was because I had not marked one of my facets as [Serializable]:

[Serializable]
public class MyFacet : Facet, IMyFacet
{
}

Had I deigned to check the logs, I would have seen:

11740 11:10:50 ERROR Cannot create tracker.
Exception: System.Web.HttpException
Message: Unable to serialize the session state. In 'StateServer' and 'SQLServer' mode, ASP.NET will serialize the session state objects, and as a result non-serializable objects or MarshalByRef objects are not permitted. The same restriction applies if similar serialization is done by the custom session state store in 'Custom' mode.
This error will appear in Experience Explorer mode and normal mode, but not in Experience Editor or Preview mode.