In relativity I am sure that you have heard that time is fourth dimension. This is represented mathematically using four-vectors: [itex](ct,x,y,z) = (ct,\mathbf{x})[/itex]. See the
http://hyperphysics.phy-astr.gsu.edu/hbase/relativ/vec4.html#c1" page (on both pages be sure to follow the links to further details).
Taking this approach you can do a couple of things that are mathematically very elegant and can give some physical insight. First, you can represent the Lorentz transform as a matrix. When you do so you notice that it has the form of a peculiar sort of a rotation matrix. Second, you can look for a norm which does not change under this rotation. This is the
http://en.wikipedia.org/wiki/Spacetime_interval#Spacetime_intervals" [itex]s^2 = -c^2 t^2 + x^2 + y^2 + z^2 = -c^2 t^2 + \mathbf{x}^2[/itex] it can be considered the "length" of a four-vector and all reference frames will agree on it.
Now, if you work through it you will find that the four-vector that contains momentum in the spacelike part has the form [itex](E/c,p_x,p_y,p_z) = (E/c,\mathbf{p})[/itex] which is called the four-momentum. This means that energy and momentum have the same relationship to each other as time and space do. Now, if you take the "length" of this four-vector you find that it is the rest mass, aka the "invariant mass" or just "mass". All observers agree on this quantity, and it simplifies to the famous E=mc² equation for an object at rest.
Now, you can get to the part that you were interested in, the conservation law. Analogously to Newtonian mechanics, the four-momentum of a system is the sum of the four-momenta of its constituent particles, and the four-momentum of the system is conserved across any interaction, including particle anhilation and creation interactions. This means that a system's energy (timelike component of four-momentum), momentum (spacelike component of four-momentum), and mass ("length" of four-momentum) are also conserved and you get one conservation law which unifies three separate conservation laws from classical mechanics. To me it is one of the most elegant and compelling facets of relativity.