From the Treasury Direct website, I saw this
Bills: U.S. Treasury Bills are a type of short-term security of one year or less, usually issued at a discount. The discount is the amount the security is lowered from its face value and is considered the earned interest when the security matures. For example, if you purchase a $10,000 26-Week Bill at $9,750 and hold it until maturity, the interest you earn is $250.
Basically this seems to say: give us your money, and in half a year we'll give it back to you. Why would anyone do this rather than 1) putting it in a bank account to earn small interest, or 2) just keeping it under a mattress in case it was needed?
Edit
I understand now why it makes sense to buy T Bills, but since the answer is obvious for so many people perhaps it makes sense to explain in more detail why the above text could be confusing. It says 'issued at a discount', so the security is 'lowered from its face value'. If these terms are not already understood, the example does not help, because it can be read two ways: either the government sells me a $10,000 bond that earns $250 interest for $9,750 (what actually happens), or it sells me a me a $9,750 bond that earns $250 interest for $10,000 (what I thought it was describing).
