Having a private browsing mode built in to your browser -- like Incognito in Google Chrome -- can be incredibly handy. I used it as a way to log in to multiple Gmail accounts prior to Google enabling that feature natively. It's useful for hiding local traces of your browsing activities, of course.
Once in a while, however, you (like me) may find yourself accidentally typing one of your Incognito-only URLs into a standard Chrome tab. It's an easy enough mistake to make when you've got multiple browser windows open and your focus is somewhat lacking.
Fortunately, however, it's also easy to prevent. The Autonito extension for Chrome allows you to create a list of sites which you only want opening in Incognito mode.
Type one of your chosen URLs, and Autonito stops the tab from loading and pops it out into a new Incognito window. The only thing lacking right now is wildcard support, but based on the number of requests on the Gallery page I suspect it will be added soon.
Change is on the way, however. In the Chromium design docs, there's talk of building robust temporary download handling in to Google Chrome. As the doc describes it, the change would "provide a nonintrusive way to open downloaded files with another application without permanently storing them on disk." An addition would be made to Chrome's context menu allowing you to "download and open" a file -- like a .torrent -- without having to save it first.
Files downloaded that way would still appear on your shelf (the chrome://downloads page), but they'd be marked with an icon indicating their unsaved status. You can work with your "download and open" files as you would a normal download -- but Chrome would remind you that you have unsaved temporary files when you close the browser in case you want to save them permanently.
So, when can you expect to see the changes? Don't hold your breath -- this is actually related to a Chromium bug filed back in September of 2008.
When we first released extension support in Chromium, we left out all support for running extensions in incognito mode. This meant I had to live without handy extensions like Mouse Stroke and PasswordMaker (shameless plug) whenever I opened an incognito window, and that made me sad. When your muscle memory is trained to expect certain features, it's pretty jarring to find them missing. So in the latest stable version of Google Chrome, I added support for running extensions while in incognito.
One of the main reasons we delayed adding incognito support was that Chrome has no way to ensure that extensions obey the incognito rules: in short, that your browsing data is not saved after you close the incognito window. After much debate, we finally decided to let users decide which extensions they were comfortable using in incognito. You should only enable extensions that you trust and that don't save sensitive information. For example, an extension named Save All Your History would probably not be a good idea to run in incognito, since it would defeat the entire purpose of opening an incognito window. (This is not always the case: if the extension is written with incognito support in mind, it could avoid saving sensitive information, but it is up to the extension developer.)
To allow an extension to run while incognito, open the Extensions management page (accessible from the Tool menu -> Extensions). Each extension has an option to "Allow in incognito". Turning this on will let the extension display page and browser actions in incognito windows, and give them access to browser information originating from an incognito tab. It's just as easy to remove this access any time by following the same steps and unchecking the "Allow in incognito" option.