Privacy is a very important issue in Browsing the Net. When you use a computer at a Cafe or at home important info is left as a audit trail in the form of Cookies, History and Cache. All this data is prevented from being created in a Private Browsing Mode.
Currently Apple safari and Google Chrome support this mode but have their own glitches , for eg Chrome doesnt clear Gears data.
Also Firefox 3.1 and IE 8 Beta versions are trying to incorporate the same albeit with little success.
Hope more is done in this regard to make our private lives more safer from stalkers and cheaters.