Definition
Incognito mode (Chrome), Private Browsing (Firefox, Safari), or InPrivate (Edge) is a browser feature that runs the session in an isolated profile that is wiped when the window closes. The browser does not save history, autocomplete entries, downloaded cookies, or cached files locally. Existing logins, bookmarks, and stored passwords are typically not accessible inside the incognito session.
What It Does Not Do
Incognito mode does not hide your IP address, does not encrypt your traffic, does not prevent your ISP from seeing the sites you visit, does not block third-party trackers (beyond some browsers' defaults), and does not protect against fingerprinting. The websites you visit can identify you exactly as they would in a normal browser, except they cannot use cookies set in your regular profile to recognize you. Incognito is local privacy, not network privacy.
Combined With a VPN
A VPN and incognito mode address different layers and complement each other. Incognito prevents your roommate or coworker from seeing your browsing history on your shared computer. The VPN prevents your ISP from seeing the sites you visit and stops the destination from logging your real IP. Use both together when the threat model includes both local observers (other people on the device) and network observers (ISP, network operator).