For online shopping, a distro which is frugally installed is ideal, such as Tiny Core. When you turn the computer off, and reboot, everything is fresh. If you want to be absolutely sure, also delete your internet browser cache.
I have not used the other distros mentioned by Ulysses, but maybe Backtrack is also frugally installed. Someone else may know.
I use Tiny Core for online shopping. If you are really concerned, you could use a live CD, so you are sure nothing is saved. You could make a Tiny Core live CD with applications.