Yep. It's funny how IE seemed to be the first browser to get private browsing right. If I've got my history right, Safari was the first browser to feature it, but its implementation is almost identical to Firefox's. In fact, I'd say that Firefox lifted its implementation from Safari, except for the fact that they got it wrong. Safari's private browsing mode is unique, as it doesn't sppear to function. The browser just picks up from where it left off like nothing happened. When you click it on, the browser stops collecting history from that point forward. It's far less jarring than Firefox's implementation.
Firefox's implementation also nukes the clipboard when Firefox loses focus in InPrivate mode. I don't think I have to explain why this is, quite possible, the stupidest fucking design decision on the face of the planet. I think that speaks volumes about Mozilla's arrogance -- they seem to think that their browser owns the system clipboard. Assholes.
IE is the first one that I consider to be usable, and that's the model that Google used for Chrome. IE8's InPrivate mode, from day 1, popped open a new private window. Additionally, it displayed "InPrivate" to the left of the address bar, making it clear that the browser would not record any data from within that window.
Opera's implementation is kind of strange. Rather than using the concept of a private window, it uses private tabs. If you spawn a new tab from within a private tab, it'll create a private tab by default. Similarly, opening a link within a private tab will spawn another private tab. The only indication that a tab is private is a doorhanger icon on the tab itself, in place of a favicon. I'm not a fan of this implementation, as it takes a bit of scanning to see which tab is private and which one isn't, especially on a high resolution screen. Still, it's not horrible, and it is very flexible, so it does fit the browser that it was designed for.
TL;DR version: When it comes to private browsing: IE/Chrome > Opera > Safari >>>>>>>>>>>> Firefox