If you're in a shell and typing some commands which you don't want to be preserved in your .bash_history, just run "kill -9 $$" when you're done with your shell. The parent process (shell) will be killed and not write anything to the .bash_history file.
 You want to log on to a box and use it interactively but don't feel like being monitored in the wtmp, use "ssh -v -T user@host" to log in. The verbose will tell you once you've successfully logged in. Now run 'last | head -n 5'. Your current login should not show up in the list. (Your login will probably still be logged by sshd in a separate file, but it's less noticeable)
 Encrypt your shell scripts: http://blogs.koolwal.net/2009/01/20/howto-encrypting-a-shell-script-on-a-linux-or-unix-based-system/
[3.1] Also use my script: http://themes.freshmeat.net/projects/encsh
 Encrypt all the files in a directory with cryptdir(1).