Firefox has a "Privacy" setting with a checkbox that says "Always clear my private data when I close Firefox" that lets you clear out various things. You can also check a box so it prompts you whether or not you want to.
Unlike MS IE and a lot of 3rd party software (of which may have spyware as well), it really does clear out everything for Firefox. That's because Firefox isn't so integrated into the OS and registry. I find most IE privacy tools still miss something that can't be removed.