No animals actually have two distinct brains, but it was once a common misconception that the stegosaurus had two brains. This misguided idea was first theorized by the famous 19th century paleontologist Othniel C. Marsh.
The stegosaurus was first discovered in 1877, and the concept of a gigantic animal with such a small brain initially puzzled paleontologists. Because of a cavity in its tail section, Marsh theorized that the animal possibly had a second brain in its rear end, used to control the rear portion of its body. Although it was disproved, the theory endured for some time. While it is now clear that the stegosaurus had no second brain, Bob Strauss, writing for About.com, states this cavity was likely a store for excess glycogen (food reserves).