Forensic Analysis
I have just completed a comprehensive forensic analysis of Google Chrome's incognito mode. And I have to say that it does as advertised. It does not save any cookies, history, etc... to the disk. However, if you tell it to save passwords, bookmarks, or download files, those it will keep track of...but ONLY ON YOUR OWN COMPUTER!!! I think that's where people are making their mistake. Nothing can prevent websites, or your ISP from tracking you on the web as that is outside the browser's control.
Interestingly enough, there are artifacts in RAM but that is required because if the browser isn't in memory, it isn't running. As a consequence, some of that memory gets swapped to disk. However, that is also outside the control of the browser. But a user can configure Windows to clear the swap file on shutdown using a registery tweak.