A different set of session variables are created for the Express checkout request and response.
use this code on the pp_checkout_failure.php page:
<?php
if(!isset(session_id)) session_start();
echo("Auth Request : <code>".$_SESSION["ECO_Auth_Request"]."</code>|<br /><br />");
echo("Auth Result : <code>".$_SESSION["ECO_Auth_Result"]."</code>|<br /><br />");
echo("Get Request : <code>".$_SESSION["ECO_Get_Request"]."</code>|<br /><br />");
echo("Get Result : <code>".$_SESSION["ECO_Get_Result"]."</code>|<br /><br />");
echo("Process : <code>".$_SESSION["ECO_Process_Request"]."</code>|<br /><br />");
echo("Process Result : <code>".$_SESSION["ECO_Process_Result"]."</code>|<br /><br />");
?>