With all the concern about web privacy nowadays, particular with the Google vs. Feds battle going on, TechWeb put together a nice piece on preserving that privacy, which is worth a read.
Most of the explanations and pointers relate to Windows, but that doesn’t mean Linux or OS X users are immune to this issue. For cleaning up your OS X machine, I will go ahead and suggest using Cache Out X from NoName Scriptware, which serves duty on the internet side, as well as machine user and system logs. And I’d love to hear what Linux users are doing on this front (outside of the terminal window, of course).