You can imagine how it confuses search engines if they see different URLs for the same page each time they come round.
There’s a new addition to Google’s webmaster tools which will be of interest if your website is one of those which adds long strings of characters to the URL thanks to a content management system trying to track various aspects of the visitor’s experience on the site. This means you if your URLs aren’t just www.bluewidgetcompany.co.uk/large-widgets.html, but instead have massive strings of stuff after the .html (or .htm, or .asp) bit. The problem is that all this stuff is customised to each visit, even though the page is the same, and you can imagine how this confuses search engines, which see different URLs for the same page each time they come round.
Don’t worry, I’m not going to bore you with the intricacies here, as it’s already been done in Understanding the Updated URL Parameter Handling in Google’s Webmaster Tools on Search Engine People. If this doesn’t affect you (because your website has been designed nicely and when you click around, the URLs stay nice and simple), then just be grateful.