Actually Jeff, you can get anonymous leads in a Smart List assuming you aren't including other filters which will exclude them (like asking for a name or email address)
Rebecca - If you're trying to test out Munchkin, I recommend the following process:
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Make a Marketo Landing Page and place a simple form on it
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Fill out that form with your email address
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Browse around some websites in that domain (hopefully your landing page and corporate website is in that domain)
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Go to the Lead DB and search for your lead by email address
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Select that lead and go to the activity log tab
On the Activity Log tab you'll be able to see a feed of activities you've done, hopefully including web pages. If you're not seeing that, I'd chat with support a bit and see if they can't help you get going.