I am using Castle Windsor to manage controller instances (among other things). My controller factory looks like this:
public class WindsorControllerFactory : Def
Very late addition: The step-by-step tutorial at the windsor site seems good. It breaks down the creation of a controller and how it's loaded into the factory. It also covers the "favicon.ico" noise.
http://docs.castleproject.org/(S(0jvahybwt45sgwzwirpa3455))/Windsor.Windsor-tutorial-part-one-getting-Windsor.ashx