I'll take this point to note that this is a serious message and if you go haywire changing any setting to see what it does, there's a chance that you'll mess up the browser and have to reinstall it. Saying that, just follow the instructions here and you'll be fine.
about:config has hundreds of options to choose from, but don't just edit them for fun
Change close buttons on tabs
You can have 3 places for the tab close button in Firefox: one on each tab, one on the active tab or one on the far right of the window. I prefer to have one on the active tab only, as it stops you accidentally closing other tabs.
In about:config, search for browser.tabs.closeButtons and you'll see one result. Double click it and enter either 1 (buttons on all tabs), 0 (buttons only on the active tab) or 2 (close button at the right). The changes take place immediately, so look at your tabs for the effect.
More on tabs
While we are looking at the tabs, delete closeButtons off the end of the filter and you'll see all the tab options. browser.tabs.autoHide hides the tab when there is only one in a window, while browser.tabs.loadInBackground makes a link opened in a new tab stay in the background. Double click these settings to change them from true to false.
If you often go to the same sites, you'll notice the Awesomebar coming up when you type in an address. The default settings are useful
but a few simple modifications can make it even better.
Delete everything from the filter box and search browser.urlbar. My favourite option here is browser.urlbar.autoFill which automatically completes the URL you're typing so you can press enter halfway through. Alternatively you can turn off the Awesomebar altogether be setting browser.urlbar.autocomplete.enabled to false.
Pipeline the browser
By default you only make one request to a server at any time, so if the server is taking longer to respond your browser is wasting time waiting for one thing to finish before it can go on the the next. Pipelining lets you open more requests, so you can get other data at the same time.
This tip should be taken with a pinch of salt: it might make it faster, slower or have no change at all. However, it's not a bad idea to give it a try:
Search for network.http.pipelining and set that to true. Below it is the maxrequests, so set that to 8 (this is the most that Firefox can use). If you're on a proxy, you should also set network.http.proxy.pipelining to true as well.
Use backspace to go back
In some browsers pressing backspace will take you a page. Firefox has this disabled by default but it can easily be enabled by searching browser.backspace_action and setting it to 0. If you set it to 1 then backspace will act as a page up key instead.
If you see any other options you feel like trying to change, then remember to take note of which they are so you can reset them (right click and select Reset). Just because you don't see any effect doesn't mean that something hasn't changed in the workings of Firefox.
These settings should also work on Windows, so please try them out there.