When working with Object-Relational Mappers like nhibernate and Entity Framework 4 it can seem like a good idea to setup a Session or Context at the start of a request and finalise it at the end of a request.
This is exactly what I was doing until I figured out how wrong it was. I'll be using Entity framework for my examples so I'm not repeating myself. So the problem is basically that a Context is not your database access object but a Unit of Work that will be committed to the database. This is an extremely important point and this is because of exception handling.
Now for a nice example, say you want to save a record to the users table but the username has a uniqueness constraint. If we're using one context per request and try to add a new user with an unavailable username we get a nice UpdateException. Now once this happens you can't use the context anymore. As a work around you can test for error states in a transaction before they happen, but that's allot of work and doesn't sound too nice.
The solution therefore is to perform actions as a Unit of Work. That way if one doesn't work out you can handle it properly and recover.
Take a look at this article to point you in the right direction Using Repository and Unit of Work patterns with Entity Framework 4.0.