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:
ArcGIS 10.0:
C:\Users\your_username\AppData\Roaming\ESRI\ErrorReports
ArcGIS 10.1:
C:\Users\your_username\AppData\Local\ESRI\ErrorReports
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