Yeah, they have been pushing Groups (like including it in the sidebar) but it's not very useful for privacy filtering since it tells the group members they are in the groups.

Given that, Friends Lists aren't especially hidden either. Account > Edit Friends > Add a list. But using them for privacy is hard: you need to select custom privacy, then say show to specific people, then type in the friend list name in a box that looks like it only expects a person's name. Kludgy. (The iPhone app is actually much better here: it just includes the friends lists in the privacy dropdown.)