I don't know of any modern browsers that have that behavior, but I do wish browsers gave you more control over session management. (and login management, for that matter)
I use Seam authentication and authorisation in my app.
I don't really know how it works underneath, but AFAIK, opening a new browser window and logging in with another user should give me another session (in theory).
What happens is that the previous window will assume the newly logged user. Is there any way I could have "multiple sessions" and still use Seam authentication and authorisation?