It shows what components of a web page are being downloaded. You might occasionally use it to determine why a component of a web page doesn't load, but most won't ever need to use it, except for one thing: When watching some YouTube videos, you can open the Activity window, locate the video file (usually showing something like "1.8 of 7.2MB" as it's downloading. Holding the Option key, you can double-click that entry and it will download the video. It doesn't work on all YouTube videos, but it comes in very handy when it does.