Firefox only (Win/Mac/Linux): Firefox extension HistoryBlock prevents specific web sites from being tracked—like an always-on private browsing mode for certain domains.
Using the extension is really quite simple—just right-click on a page, choose Block This! from the menu, and pages from that domain will no longer be stored in your history. Since there's no UI to see all of the sites that are being blocked, you'll have to manually unblock the site using the extension's options panel and manually typing in the domain of the site—but it's worth the trouble if you simply want to hide a site from being stored in your history.
Most readers will probably suggest using the Private Browsing mode in your favourite browser if you are checking out less-than-reputable sites on a shared computer, but this extension could still be useful if your history is constantly cluttered with frequently used sites that you don't need to track.
HistoryBlock is a free download, works wherever Firefox does. For more, check out how to speed up Firefox by limiting history size.