The DiggBar is a URL shortening service that puts your website within a frame on digg.com. As a result, the user sees Digg's URL, rather than your URL in their address bar, no matter which page they navigate to on your site.
I don't particularly like this, so I've written a small plugin for WordPress that removes it. Go to the No DiggBar page to download it.
Tip of the hat to John Gruber for the idea.
Update: The No DiggBar plugin is now available from the WordPress Plugin Directory: http://wordpress.org/extend/plugins/no-diggbar