Service Fabric enables the creation of both stateless and stateful microservices.
As the name suggests, any state maintained by an an instance of a stateless service will be lost if the node goes down. A new, fresh instance will simply be spun up elsewhere in the cluster.
Stateful services offer the ability to persist state without relying on an external store. Any data stored in a Reliable Collection will be automatically replicated across multiple nodes in the cluster, ensuring that the state is resilient to failures.
A common pattern is to use a stateless service as the client-facing gateway to the application and then have that service direct traffic to the app's partitioned stateful services. This hides the work of resolving partitions from clients, allowing them to to target one logical endpoint with all requests.
Take a look at the WordCount sample for an example of how this works. The WordCount.WebService stateless service acts as the front end to the application. It simply resolves the partition based on the incoming request and then sends it on. The WordCount.Service stateful service (partitioned based on the first letter of the word) immediately puts those incoming requests in a ReliableQueue and then processes them in the background, storing the results in a ReliableDictionary.
For more details, see the Reliable Services Overview.
Note: for now, the best way to expose WebAPI endpoints to clients is to self-host an OWIN server in the stateless service. ASP.NET 5 projects will soon be supported as well.