Frames
This document is contained within a frame. (Well not really, but you will get the idea) Look on the left, the menu is actually one frame. This is all imbedded in another set of frames, on the left the main menu frame, below the copyright frame, and to the right the buffer frame. Used well, frames can add a great deal of versatility to a site, used poorly, it can be a frustration to visitors, who will never return.
The main benefit of frames is where you have a large site which requires a consistent menu or navigation system or where information is repeated on each document. This can make a frames site run quicker than a normal site, as it only has to display the new document selected from the menu within a frame, no the whole screen. Frames can be set to a certain size or be dynamic, look for the scroll bars. In a normal site you wouldn't want your visitor to have to scroll too much.
One of the biggest objections to frames by those that don't like them is that frames reduces your effective screen size, as a certain amount of your window is dedicated to the frame. This is true, but in a non-frame site, the author must still provide a navigation or menu system and good design dictates that this be displayed on every page, so all you are doing is downloading the same code each time a new page is loaded, thus slowing the site.
The downside is that you can't print more than one frame at a time, so if you want a particular piece of information to appear it must be contained within that frame or document.
Some sites also use frames to retain a presence when they offer links to other sites. Rather than the link appearing full size in its own window, it is captured within the frame of the current site. This procedure is generally not apreciated by the general internet community and its use is discouraged.