Tracks are shown on the map screen, and give you an idea of where other parties are. Rolling your mouse over them can tell you how large the party is, as well as a wealth of other information, depending on your skill level in tracking. Improving the tracking skill can help you see tracks from a further distance, how large the party that made them was, whether or not there were prisoners, how long ago the tracks were made, and even what the party was (caravans, farmers, bandits, etc.).

Tracks can be very useful when looking for a large war party and don't want to ask a lord.