The site that can not be named?

Okay I am probably doing a big "No No" by asking this, But does anyone know about this thing codenamed "THe site that can not be named?". My friends ask others "WHats your name(or something else) on the site that can not be named" and they right it on a piece of paper and give it to each other. And tell me that THe first rule of the website is that you can not tell others its name. I am wondering if this really is a website or if they are pulling my leg and trying to make me obsessed about it due to them knowing I am highly inquisitive.