Bitcoin is anonymous; it is not, however, untraceable - and isn't designed to be. Wallets just don't have an assigned owner, like your bank account does.
If you're doing illegal stuff - or just want better privacy - you can burn some money in fees by passing your cash through a mixing service, which breaks the traceable chain of transactions. For example, if you send 100 mBTC to the mixing service, you'll get 2-3 transactions with "random" values back from completely unrelated wallets. Assuming it's not a scam, of course.