Normally if you have a link on your website to another website, and someone clicks on that link, the URL of your page with that link is passed to that site as referral information (and visible to administrators of that site). For example, let's say the Google Sites help page (http://sites.google.com/support/) has a link to http://www.example.com/foo. When a user clicks on that link, the owners of www.example.com will be able to see that the user came from http://sites.google.com/support/. This is great information for site owners, and works well for public sites.
While this isn't a problem for public sites, it can be an issue for private intranets. Let's say instead of our help site, the link to example.com was from your private intranet, http://sites.google.com/site/intranet/super-secret-project-name. You probably wouldn't want that link visible to the administrators of example.com, so for Google Sites that are set as private, we automatically perform what is called "referrer scrubbing" by sending outbound links through an anonymous redirector. The result is that anonymous information, not the URL of your intranet, is passed as referral information. We assume your private site is private for a reason and this includes your URLs as well as your content.
Just one of the many features in Google Sites which allow you to focus on your content, not your infrastructure.