Changing the behavior back to the way it used to work is very simple: just type about:config into the address bar and find the browser.tabs.closeWindowWithLastTab entry in the list—using the filter makes it easy. Once you've found that key, double-click on it to change the value from true to false, and Firefox should no longer close when you close the last tab.
For more, check out the top 10 Firefox 3.5 features, learn how to install it on Ubuntu with a single command, or get your extensions working even if they haven't been upgraded yet. Thanks, Mark!
We've already talked about all the great new features, but does anything in the latest release annoy you? Tell us in the comments, and maybe one of your fellow readers will have a solution.