All browsers have an incognito mode. It’s called ‘Private Window’ in Firefox, InPrivate in Internet Explorer and so on The advantage of incognito mode is that it does not leave traces in your browser history. Of course this is only useful when not sitting at your own computer, unless you want to hide for yourself or for a spying person in the house .
On the other hand, browser history can be very handsome to retrace your own surfing behaviour on the web. Also if you want to visit a page you visited before, but you forgot the url, you can search in your browser history and find it back.
Anyway there is another interesting feature when going incognito in your browser. When logged on in Facebook, Google or any site with acount and password login, what you see and get differs from what you saw before you were logged in, it also differs from what someone else sees, not being logged in. When going in incognito mode you are logged out without logging out, so you can switch between both situations. Before and after.
Another issue is that you cannot be logged in with a second account at the same site on the same computer. Going in incognito mode allows exactly to do that without any problems. It is as simple as that.