One of the most famous is US v. Carolene (http://en.wikipedia.org/wiki/United_States_v._Carolene_Produ...), but there are hundreds, maybe thousands of examples. Even when they don't contain actual law, footnotes often give insights into why a court decided an issue or interpreted a fact the way it did. These little hints can be invaluable in distinguishing later cases, or giving a later court a foothold to create some new law.
Setting a precedent is, in fact, the creation of new law. This is the basis of the Common Law system that the United States and other former English colonies use. See, for example, http://en.wikipedia.org/wiki/Common_law
:). Thanks for the link, it was very educational. However, it actually doesn't seem to apply in this case: "United States federal courts only act as interpreters of statutes and the constitution by elaborating and precisely defining the broad language (connotation 1(b) above), but, unlike state courts, do not act as an independent source of common law (connotation 1(a) above)." [1]
In theory, you're right: courts don't make laws. In practice, courts make law every day. This is intuitively obvious (e.g. If law says you can't do A or C but says nothing about B, and the court says "B is really just like A and C, so B is also prohibited under the law", the court has just made law)[edit: perhaps not so obvious if you don't practice law, but courts do this every day], but also goes deeper: The very idea of judicial review itself was invented by the courts (see http://en.wikipedia.org/wiki/Marbury_v._Madison).
While not a footnote, the headnote of Santa Clara County v. Southern Pacific Railroad "indicated that corporations enjoyed the same rights under the Fourteenth Amendment, adopted in 1868, as did natural persons" and has been very influential.
The actual holding in Taylor v. Taintor (http://en.wikipedia.org/wiki/Taylor_v._Taintor) is not nearly as famous as the paragraph in the majority opinion that gives legal standing to bounty hunters: "Whenever they choose to do so, they may seize him and deliver him up in their discharge; and if that cannot be done at once, they may imprison him until it can be done. They may exercise their rights in person or by agent. They may pursue him into another State; may arrest him on the Sabbath; and if necessary, may break and enter his house for that purpose"
