Selecting private browsing from the file menu is Safari doesn't stick. If you close the window, it revert to non-private. In Firefox's preferences, you can specify that Firefox wipes cache, cookies, passwords, history, etc. every time you quit the app and that stays and happens every time. Also, you have a great deal of granularity with it (i.e., I can keep my cookies but dump the cache and history) whereas Safari's private browsing is all or nothing.
Secondly, the slow down Safari experiences is actually from the AJAX Digg uses on its forums so it's not totally HTML-related. Safari beta 3's handling of AJAX is greatly improved--better than Firefox now, I would say.