I'm actually in between of most people. I don't like having it on every tab because I find myself accidentally closing things that I don't want to. I know that there is an "undo closed tab" operation but I close them so frequently that it gets annoying having to keep doing that.
However, I hated the pre-Firefox 2 method of having the closed button all the way to the right side. So I have my Firefox setup to only display the close button on the tab that is currently selected. This is perfect for me.