On a multisite install, at the network level > Ultimate Branding > Images, you can set individual favicons for the sub-sites. This is really useful!
What's not really useful is that all the sub-sites on our subdirectory install are given the same name – that of the domain. It would be much more useful to use the Site Title. Not sure if this should be a feature request really – I don't think it was intended to be a feature and it already exists in the product, so I assume it's a bug that needs fixing.