As such there are no arrays of Session but As soon as you add different Session it will be all stored in Session class
you can use array list or hashtable or datatable also,what you can do is following
ArrayList arrList = New ArrayList();
arrList.Insert(0, "values");
If(arrList.Count != 0)
Session["myArray"] = arrList;
// now to use it further or get the from it you would do
ArrayList arList1;
arrList1 = Session["MyArrayList"] as ArrayList()
// to get the values
String strString = myNewArrList[0].ToString();