In Firefox, you can easily retrieve it by pressing Ctrl+Shift+T
In Opera, recover last Closed Tab by pressing Ctrl+Alt+Shift+Z
In Internet Explorer, there's no inbuilt feature to restore closed tabs but there's a free add-in called IE7 Open Last Closed Tab that makes your IE 7 behave just like Firefox or Opera. After installing the add-on, just press Alt+X to recover closed tabs.
Source: Digital Inspiration