As far as I can determine, Incognito mode just creates a 2nd sandbox for cookies and history that's shared across all Incognito tabs/windows, and is only deleted once you close them all. Cookies you create in one Incognito tab or window are visible to all other Incognito tabs/windows, just as cookies created in plain tabs/windows are visible to all other plain tabs/windows.Not entirely. The basic test I performed involved me logging into a site with a standard window, then opening a new window and navigating to that site. In the new window, I was logged in, because my cookie was shared and the session could be re-activated. When I opened a new Incognito window and navigated to the same site and logged in, and then opened a new Incognito window to that same site, I was not logged in.
If I was to open a link in a new tab from the logged in Incognito tab, that new tab would inherit the session from the parent tab, but opening a new window or tab and manually navigating to that site forces the site to create a new session.
Similarly, if a malicious site was have some code that tried to steal my session (via iframe or similar), it could only do so in the same incognito tab I had an active session in. I'm not entirely sure if it could do so if the malicious site was opened from a parent tab that created the session, since I have not tested that, but I assume it can since the session was inherited, and thus shared between the two Incognito tabs.
tl;dr: Incognito tabs/windows just don't create a secondary shared storage cache, they'll create as many sandboxed caches as necessary, only taking existing cache's from their parents.