Unfortunately, Firefox turned out to have problems with providing a cursor in the location bar after opening a new window (you had to set it by mouse!), and the privacy mode is broken: it removes all other windows and switches to anonymous browsing globally. Autofill did not work as well as I expected: user names often weren't filled in. Speed was not an issue.
Enough little issues for me to switch back to Chrome. It's sad that they haven't managed to make FF fully useable. To make anonymous browsing apply to a single window appears to require deeper architectural changes according to the bug thread, which does not bode well for their overall design. Making it per-tab appears to be yet another story, which seems even more strange to me.