A vhost (virtual hostname) is fun and can also be used to help conceal your identity from mischievous script kiddies. When you join an IRC channel or when someone does a WHOIS on you, your host is displayed to the public. If you have a vhost, it will be displayed instead of your home IP address.
Xshellz has a list of vhosts that you may select from. You may also request your own custom vhost from someone who runs an IRC server that you frequent.
To set it up (type into the irssi command bar)
/set hostname my.cool.vhost
Then use this command so that irssi saves it to your config file to use every time you connect: