A proxy that focuses on WWW traffic is called a "web proxy".It's most common use is as a "web-cache". It provides a mean to deny access to certain URLs in a blacklist, thus providing content filtering. Some web proxies reformat web pages for a specific purpose or audience.
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Anonymous proxy servers hide your IP address and thereby help to prevent unauthorized access to your computer via the Internet. The proxy "masks" your IP address and and therefore hides user based interests, surfing choices, and online activities. Besides that, they don't even let anyone know that you are surfing through a proxy server.
Any web resource you access can gather personal information about you through your unique IP address - your ID in the Internet. With your IP Address then can monitor your surfing patterns, interests, and even deny accessing information you might want to access.
We caution users to avoid free anonymous proxies because you ultimately do not know how the information is being utilized by the service. When in doubt play it safe and use a reputable anonymizer service.