A "Session" generally contains the variable components and builds upon the base "Route". Variable components include defining which trains and rolling stock will be on the tracks, what loads they are carrying, where the trains need to go, which industries are outputting various commodities and so on. There really is an endless opportunity to customize a session to suit your tastes.
It is quick and easy to create a session by placing a train and using the Driver button on the top menubar. For more details on how to create more complex sessions, check the HowTo/Create_a_session tutorial.