Browser Plus for Windows Phone 7 has tab support and incognito mode
Tabs work exactly as you'd expect, and the tab bar is located between the address bar and the rendered page. Adding or closing a tab is done with the "+" or "X" signs that show up to the right of the tab bar. The incognito mode allows you to hide your browsing history, and there's even quick access to the search bar. A demo video of the app is available after the break, courtesy of WPCentral.
The two possible downsides for this app are that it only works in portrait mode for now, and that it's not free -- it costs $0.99. If neither of those is a dealbreaker for you, then search for Browser Plus in the Windows Phone 7 Marketplace and install it.