This article is from the CD-Recordable FAQ, by Andy McFadden (email@example.com) with numerous contributions by others.
As always, it depends.
MS-DOS lets you see the first data session. Usually. Win95 lets you see
the last data session. Usually. Roxio's Session Selector and Ahead's
MultiMounter will let you choose which session you see.
Some CD creation software (e.g. Roxio Easy CD Creator) writes a complete
table of contents in each session, some of which refers back to the files
from the previous session, allowing a form of incremental backup. (This
will work for ISO-9660 discs, but won't work for HFS. However, this is
less painful than it seems because a properly-configured Macintosh will let
you mount all the sessions as individual volumes.)
Software like Nero or Easy CD Creator will allow you to combine the
contents of several previous sessions by creating a new session (load the
file/directory info from more than one session, then write and close a
new session with that directory structure).
For some older systems your success with multi-session discs may depend on
the SCSI or CD-ROM driver you have installed. It's reasonable to expect
a disc with two sessions to be treated the same way on just about every
system, but once you go past two it's unwise to expect consistent behavior.
If you just can't seem to find your files, you can use IsoBuster
(http://www.isobuster.com/) to access the data manually.