When users interact with the Web today, they leave sequential digital trails on a massive scale. Examples of such human trails include Web navigation, sequences of online restaurant reviews, or online music play lists. Understanding the factors that drive the production of these trails can be useful, for example, for improving underlying network structures, predicting user clicks, or enhancing recommendations. In this work, we present a method called HypTrails for comparing a set of hypotheses about human trails on the Web, where hypotheses represent beliefs about transitions between states. Our method utilizes Markov chain models with Bayesian inference. The main idea is to incorporate hypotheses as informative Dirichlet priors and to calculate the evidence of the data under them. For eliciting Dirichlet priors from hypotheses, we present an adaption of the so-called (trial) roulette method, and to compare the relative plausibility of hypotheses, we employ Bayes factors. We demonstrate the general mechanics and applicability of HypTrails by performing experiments with (i) synthetic trails for which we control the mechanisms that have produced them and (ii) empirical trails stemming from different domains including Web site navigation, business reviews, and online music played. Our work expands the repertoire of methods available for studying human trails.