Ahh, this link is just too good to pass up: Fun With HTTP Headers. It's quite astounding the number of uses people have found for HTTP headers. I use the term "uses" loosely, though, as very few of the examples shown would actually be of any use unless you happen to be reading the header content (and even then, their usefulness is debatable).

But nonetheless, people insist on adding custom headers just in case they might at sometime be useful to someone, somewhere.

My absolute favourite example would have to be from the game site Tux Games:

X-Subliminal: You want to buy as many games as you can afford

- Oh no, my browser keeps making me click all the "BUY" links O_O