It is unethical to record a therapy session without the client's permission. I actually think that they would need/want to have written permission because that's a lawsuit waiting to happen. Some therapists record for supervision purposes...but they can't do it if the client doesn't say it is ok.

I think the client has a lot more freedom to record if they want to. Personally I'd hate it because I'm uncomfortable enough without a tape recorder listening to me...but I can see how it could be helpful in certain situations.