I am running Gnome3, but I had the same problem with Unity, on Ubuntu 12.04.
I have a fairly elaborate setup I enjoy using day-to-day. A LibreOffice spreadsheet with everyone's extension numbers; a window with reference data I use regularly; two mulit-tabbed Konsole/Terminal windows with several remote systems sessions, firefox with a set of open tabs, and so on. But whenever I log out, when I return, I must set up everything from scratch. I remember the good 'ol days, when I rebooted, I'd re-log in, and all my windows came back up in the same places as they were when I logged out, and my Konsole/Term would come up with the same remote logins as before.... I'd have to re -setup some of my programs, but that's better than having to move every win into place, and resize them, etc.
How do I get this functionality back?