EDIT: This post was originally written for Kali 1.0 in 2013. It was not tested on any later version.
I started this post with Backtrack, but since Kali Linux came out yesterday, I figured I would update the instructions to use the latest and greatest!
Thug is a low-interaction honeyclient put out by The Honeynet Project. The purpose of a honeyclient is to emulate a web browser when viewing malicious websites without actually visiting the page in a vulnerable browser. It can then follow redirects, pull down malware, and emulate browser plugins to pull down any of the malicious code trying to be served up to victims. You can read more about Thug here and here.