The Big Three web browsers all now have pinning ability. IE9 can pin to the taskbar, Mozilla Firefox 5 can pin as "app tabs" and Chrome can pin tabs as well.
I’m going to skip IE9 here because its pinning ability is limited to the Windows taskbar and not in-browser; even though it can pin, I want to concentrate on in-browser stuff only.
An example of pinned tabs looks like this:

Pinned tabs are smaller and only show the site icon. In the above example I have AOL Mail and Facebook pinned.
The way pinning a tab works is the same in Chrome or Fx 5. Right-click the tab and choose "Pin tab" in Chrome or "Pin as app tab" in Fx 5. To unpin, right-click and choose "Unpin tab" in either browser.
5 things worth using as pinned tabs
1. Your webmail
This is a site you visit often, so you might as well keep it open.
2. Facebook
Being that Facebook does dynamically update itself when you get new communication in there, it’s worth keeping open.
3. Weather Underground radar for your city
Load up any Weather Underground location:

Hover over the radar image on the next page and choose NEXRAD:

On the next screen is the radar. This page does automatically update itself once every 6 minutes. You’ll see the little timer clicking at the bottom right of the radar:

If you leave this specific page open as a pinned tab, you can come back to it at any time and it will be currently updated within the last 6 minutes.
4. Web-based instant messenger
Do you use Meebo? Or the web-based version of Trillian? Or any other in-browser-tab instant messenger? Web-based IM is a very good thing to keep as a pinned tab.
5. Web-based calendar
While it’s true that if you use webmail, you can click over to the calendar at any given moment, it’s actually more convenient to have the mail in one tab and the calendar in another.
Most major webmail providers that have calendars do have different site icons for each.
If you load mail.yahoo.com in one tab, calendar.yahoo.com in another and decided to pin both, it would look something like this:
Y! Mail is the first pinned tab, Y! Calendar is the second. Both are different enough to easily tell them apart.
If you load Gmail and Google Calendar in similar fashion as pinned tabs, those two are also easy to tell apart:
Hotmail unfortunately is a different story. If you had www.hotmail.com and calendar.live.com loaded in two pinned tabs, they look exactly the same:
This isn’t necessarily a problem as long as you remember which is which, but it’s not as easy as using Y! or Google.
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What about Opera? How can I pin tabs on Opera? I am on it.
Too bad you lose any notification counters when pinning. Otherwise, pinning can be very convenient.
Too bad you lose any notification counters when pinning. Otherwise, pinning can be very convenient.