A proxy server forwards your requests to the internet. The advantages are:
- if several users share a proxy server it can serve requests out of its memory (buffering)
- you can masquerade your location. You may get better rebate at Hertz or you may be able to watch a video that is not supposed to be available in the country you are in. Or you may not want people to know where you surf.
You can get yourself a virtual server at rackspace and use it as proxy.
Dont leave your proxy running and allow anonymous access.