If you’re now using Firefox 2.0, you’ve probably already noticed that tabs now have close buttons by default, instead of having a single tab close button on the far right-hand side of the toolbar. If you preferred the older behaviour, simply navigate to the “about:config” page (type it in like a URL or webpage address), and find the section marked “browser.tabs.closebuttons”. Double-click on this entry, and set the value to 3 to display a single close button at the end of the tab strip (Firefox 1.x behavior).
Alternatively, you can set the value to 0 to display a close button on the active tab only, 1 to display close buttons on all tabs (Default), and set it to “2 to not display any close buttons at all.
taken from the about:config page at MozillaZine
A parting tip: To close the current tab using your keyboard, press CTRL+W. If you close a tab by mistake, just head to History > Recently Closed Tabs, and you can resume work from there (alternatively, you can use the arcane keyboard combo CTRL+SHIFT+T).
If you prefer using your mouse and want an even faster way about it – try the middle-mouse click (that’s typically a scroll button). When you click the scroll on any tab it instantly closes the tab for you. I have been using this method quite a bit lately. Though it seemed quite alien at first, I quickly got used to it and it’s now a major part of my Firefox 2 workflow.