I'm not going to regurgitate the same news on this that everyone else has already blogged to death about. No. Actually, what I found humorous was how some of the blogs are framing the scenarios for this feature. In other words: providing example situations where this would be beneficial to you, the little guy. Like this one. Yeah, sure. Buying gifts. Kiosks. Whatever. C'mon. We all know why people want browser privacy features, and it has nothing to do with "respectable" usage habits.
What many people forget is that applications on your desktop are only the end of the line for data flow. You can cloak and scrub and obfuscate your local data cache all you want. But that data had to arrive over a connection (wireless or LAN wire), which goes through one or more hubs or switches and more than one router. Any of these points of hand-off are easy to monitor to see what you're doing. There's no shortage of this being exploited, and most of the time for bad reasons.
Aside from desktop/local cache management, you can rest assured that Microsoft will abide by their long-standing enterprise focus by making it possible to control this feature by using IEAK or Group Policy settings. After all, if you're on the hook for SOX, HIPAA or FISMA control, you want to be able to know what your employees are doing on the web. So this feature is obviously a boon to home users, who most often do not have an Active Directory domain in their network. Regardless, as I've said before, I'm eager to get my hands on IE8 Beta 2.