Grouping by session_id ?
Basically what Hogfather said
declare @your_table table
(
session_id int Primary Key,
d1 datetime,
d2 datetime,
d3 datetime,
d4 datetime,
d5 datetime
)
insert into @your_table values (1, '20110101', '20110201', null, null, null)
insert into @your_table values (2, '20110201', '20110101', null, null, null)
insert into @your_table values (3, null, null, null, null, null)
insert into @your_table values (4, null, null, null, null, '20100501')
select t1.session_id, max(dx)
from @your_table t1
inner join (select session_id, max(d1) [dx] from @your_table group by session_id union all
select session_id, max(d2) [dx] from @your_table group by session_id union all
select session_id, max(d3) [dx] from @your_table group by session_id union all
select session_id, max(d4) [dx] from @your_table group by session_id union all
select session_id, max(d5) [dx] from @your_table group by session_id) as t2 on t2.session_id = t1.session_id
group by t1.session_id