Did you close a window too soon? This is especially a pain when you close a multi-tabbed window, losing locations you haven't even looked at yet. Choose History -> Reopen Last Closed Window to get it back, with all its tabs.
Say you must quit Safari to install an update for your favorite utility, but you have multiple windows with multiple tabs open. You don't have to save all of these pages as bookmarks. Just quit Safari, dismissing any warnings about the opened windows. When you restart your browser, choose History -> Reopen All Windows From Last Session to get everything back to the way it was when you quit.