Just relying on being anonymous to secure your privacy and connection doesn't really work. For instance many people believe that they just have to use an anonymous proxy and they will be safe and secure. The truth is somewhat different.
Take a look at this diagram, for your average web surfer this is the way people surf, extremely vulnerable if you spend any amount of time online.
When you use a proxy server, you are in fact merely redirecting all your web communication via that server. The advantage of doing this is that the server you visit has no record of your IP address just the proxy server. That is where the benefit ends.
There are still records of where you go and what you do all over the internet. There is no anonymous security until you clear these records. The biggest list of your activity is at your ISP which will log EVERYTHING you do online. This is the reason there are various directives in Europe which state that the ISP has to store this data for two years - you can read about this here
European directive on Mandatory Retention of Communication
Identity Thieves, hackers, government snoopers don't bother trying to access the individual logs of particular web servers, they don't need to there's much easier ways. There are complete lists in the ISP logs of all your communication and identity thieves can pick up thousands of details purely by setting up their own anonymous proxy and logging all the data. Many of the 'free anonymous proxies' are in fact set up and run on hacked servers - so be very careful if you use them.
So what do you need to do to be secure ?
Well there's two main areas to anonymous security
Protection against Logging
Encrypting all your data
A trusted and secure anonymous proxy can stop your IP address being logged everywhere you visit, and encrypting your data stream means that nothing can be read anyway. All logs containing your data including at the ISP are completely unreadable.
If you don't do both these things your connection is neither anonymous or secure.
Most solutions on the market don't cover these two areas and as such are fairly pointless. In fact many so-called security and protection systems are little more than little graphical programs that scan for open proxies then direct your browsing through them, with no thought into who, where or what these proxies are !
Do yourself a favour if you want to keep your connection secure and try out the best solution by far - Identity Cloaker