You can click the magnifying glass at the top right of Opera to see recently-closed tabs where you can then reopen them. You can goto the URL opera://history and reopen any pages that are there.
You can right-click on a tab, goto "save" and choose "all tabs to a speed dial" folder. If you select tabs with ctrl + click, it'll save just selected tabs. Then, later, you can right-click on the Speed Dial folder and choose "open all in tabs. Also, if you use Opera's workspaces, the save option will only save tabs in the work space you're in.
If you want something more specific to sessions, see Session Buddy.