Firefox has just added private windows (just like incognito in Chrome). It's currently in Firefox beta [1], which will be released on April 2nd.
[1] http://www.mozilla.org/en-US/firefox/20.0beta/releasenotes/
Chrome-style private browsing is coming in a few weeks.
https://blog.mozilla.org/futurereleases/2013/02/22/firefox-b...
One thing that strikes me as vastly inferior in FF given my use cases is the way private browsing works. I use incognito tabs in Chrome all the time in dev to get a clean tab with no sessions etc. FF only allows for either normal tabs or private tabs, not both. Oh well :-)