Sessions
Longer answer: sessions, by providing a way for you to recognise a visitor from one page request to the next (something which http doesn't do), allows you to provide the visitor with a more personalised and dedicated image.
It's useful for things like logging in users to parts of the site (like this site does), or forms that span multiple pages ... basically, any situation where what goes on one page depends on what the user has done on previous pages.
To use.
On any page where session data is to be used, start off with:
<?php
session_start();
Then your session data can be stored in (and retrieved from) the $_SESSION[] array ($HTTP_SESSION_VARS[] in PHP<4.1) just as you can with any other array.