You have the Cookies, History, and Temporary Internet Files. I don't think IE has cache, does it? That's pretty much it. All the other fags are paranoid freaks, ignore them.
Oh, there is that Auto-complete thing. And maybe some sights install software into your computer? That's pretty rare. Then there is the My Documents History thing: you right click on the taskbar, go to the start menu properties thing and it says Clear somewhere.