Sometimes you don't want to leave traces on your computer of some site you visit. Google Chrome's incognito windows are made just for this. Visit a website in an incognito window, and when you close the window, the browser has no record of you having been there.
Of course, you probably knew that. What you might not have known is that you don't have to use the Tools menu in the upper corner of the window to get an incognito window. Just hit ctrl-shift-n, and one will pop right up. (And it's command + shift + N on a Mac.)
If there's a particular link you want to open in incognito mode, you can right click the link and select "Open link in incognito window", and you'll navigate to it without leaving any tracks.