If you want some extra privacy, it’s possible to disable te resume function in Safari. After applying the command Safari will not remember the opened windows which where open at time of closing.
Quit Safari and type the following command:
defaults write com.apple.Safari NSQuitAlwaysKeepsWindows -int 0
To re-enable resume in Safari:
defaults write com.apple.Safari NSQuitAlwaysKeepsWindows -int 1
In 10.8: Safari -> Preferences -> General -> Safari opens with: (A new window | All windows from last session)