I personally like keeping things in a single browser window, and find it super annoying when I have multiple windows. But I sometimes want to use a site whilst logged out or logged in to a different account, or just don't want to be tracked. across the web. It's nice to be able to do it all in one place. It also helps enforce a better discipline in keeping parts of your life (and thus your online identity) separate so that it's harder to track.

Multiple windows sure seems like a clean visual signal that you are in a different privacy context...