The "File" menu allows you to re-open one of the files you have recently had open, but I find this pretty useless. Not because I don't want to work on a file I was working on earlier, but because it does not change to the working directory that contained the file. It would be nice to allow a selection from a list of previously used working directories to pick where I want to work now. I don't know about everyone else, but our company directory structure is rather complex. If I'm working on two entirely different projects over the course of the day it gets tedious traversing up and down directory trees all the time.
Have used the Favourites in the tree to achieve this quick moving betwen projects. Does not address last working directory but sure helps.
I'm a big fan of Favo[u]rites for switching working directory. I have all my current projects there, plus the main ones I need to access for legacy issues, plus my temp directory and RAM drive for Mechanica work.
If you're frequently switching between two projects through the course of the day, you should badger PTC to make their licensing work on a per-machine basis, not a per-instance basis - there are several good reasons to run multiple sessions but at the moment that means grabbing multiple licences, which runs the risk of making you unpopular...