A lot has already been written on CD Freaks about this subject, and can be found by searching the site for the keyword "multisession".
It should mainly be pointed out that multisession is not recommended for DVD. The discs are too easily damaged whilst still open, thus losing all the data. The earlier sessions will not be always readable in other computers, or even in the same computer a week later. My own experience is that if you absolutely must use multisession with DVD, then it should be on a DVD+RW where further sessions are combined into the preceding one, and no finalising is necessary.
Multisession is certainly better restricted to CD-R.