This is what an inline fuse looks like:
Other types use a "blade type" fuse:
One end hooks to the battery, the other to the +12v input of your device. If something happens and your device pulls too much power...*blink*....your fuse blows rather than causing your car to catch fire. Very useful. I've also heard that you should put it close to the battery, probably so there is no opportunity for the wire in between to heat up and short out without a fuse on it.