That's the one feature that's definitly missing from Safari. (Safari only just now learned to re-open the last tab with Command-Z. All the other tabs you'll have to search for yourself in the recently closed pages-menu.)
In addition to the "reopen all windows" option mentioned you would probably be wise to check out the Sessions safari extension if you tend towards my habit of keeping lots of state in tens of browser windows with lots of tabs in each window... Sessions does a much better job of actually remembering your open tabs and windows (I have had the LastSession plist get messed up and windows or tabs open up completely empty too many times to count) and you can create or edit various save points for collections of windows and tabs.
