While the current session isn't saved, the crash dump files are saved if you want to look at them.
Location of crash dump files
Extract from the Esri technical article:
When using the Windows Vista or Windows 7 operating systems, the crash dump files (.dmp) can be found at the following local hard drive location within the application data of the user profile:
When using the Windows XP operating system, the crash dump files (.dmp) can be found at this location:
C:\Documents and Settings\your_username\Application Data\ESRI\ErrorReports