Firefox: Sick of having to start a completely new session (and get rid of your old one) just for private browsing? Firefox extension Private Browsing Window starts your private session in a new window without closing old ones, like Chrome's Incognito Window.
It's not quite as smooth as Chrome's Incognito Windows, but it works pretty well. Private Browsing Window essentially starts a new instance of Firefox alongiside your existing session, with a new profile in which Private Browsing is enabled. You don't have all your old bookmarks or preferences in your new private window, but you don't have to end your non-private session, which is certainly convenient. This feature replaces the old Private Browsing feature in the Tools menu and adds a small shortcut in the bottom right corner of your screen. Note that this add-on requires the latest and greatest Firefox 3.6 to run, so if you haven't updated, what are you waiting for?
Private Browsing Window is free and works wherever Firefox 3.6 does. Thanks, Jason!
Private Browsing Window [Mozilla Add-Ons]