Unfortunately, browsers are complex and trying to implement too much anonymity can create havoc with website compatibility. Just ask anyone who keeps cookies off. It wreaks with functionality.
On that note, I suspect you are shooting for privacy rather than anonymity. IE9 is probably the best one with its No tracking feature. While other browsers are at the mercy of third party compliance, IE9 give users a bit more control by forcing compliance upon third party trackers.
I remember reading about the politics and drama that went to implementing this feature. When it was first announced, ad companies threaten to sue. That tells me this is a good feature when it threatens their business model.
Another feature I would strongly suggest is a password manager. LastPass is my choice here. Along with strong plugins, two factor authentication, my favorite feature is the one time passwords. Along with your master password, you can also use the one time passwords if you are logging into a public machine, rather than using your master password.
Outside of Firefox/Chrome/Opera/IE Privacy modes, I wouldn't bother with the rest of the hacks. It's debatable how effective they are at protecting your privacy.