How can I get Safari to reopen my last closed tab?

Try clicking ⌘-Z (for undo).

As it was mentioned already ⌘+Z only works for one tab. If you would like to be able to reopen more than 1 tab, try retab, an open source Safari extension. You can customize the key-bindings to match Chrome-style ⌘+⇧+T too.

As of macOS Sierra beta 1, ⌘ + shift + T works the same way on safari.

Reference: https://www.reddit.com/r/apple/comments/4v07pt/command_shift_t_now_works_in_safari/

or you can download the app SafariTabs There is a feature that saves the tabs and you can restore them for each session. It requires SIMBL to be installed. I haven't tried it yet.