So if you want some privacy you are going to have to learn how to surf anonymously by using certain methods. I'll break up the areas so you can see which are important and what you can do about it.
How to Surf Anonymously
1) Your Computer - when you use the internet your web history is recorded on your computer. Now this is the area that bothers me least - it just means that my family and other users of the computer can see which web sites I have visited which I don't really have much of a problem with. This is however easily solved by just 'deleting your browser history' - it's easy to find in IE and Firefox and you can set your browser to do this every time you log off. There is a mode in Chrome (Googles free browser - Chrome called Incognito mode which does this automatically and leaves no trace on the computer of any web site you visit.
2) Your ISP - this is probably the area that bother me most mainly because it is targeted by our Governments so they can check on our surfing habits. It is also the most complete record of absolutely everything you have done online. Every web site, message, email gets recorded in your ISP logs and kept for a significant period of time. The information is linked to your IP address so it really is an exact profile of your internet browsing. You have absolutely no chance to surf anonymously without doing something about this. This is probably the most difficult area to protect as well - the problem is that the ISP routes all your traffic to and from your computer and it's all in clear text using HTTP.
There's no point using anonymous proxies to solve this issue as they will do nothing at all - the data has all ready been logged and recorded. So what do you do - well you need to encrypt your connection.
You need to set up some sort of encrypted tunnel to secure this data and there are a few ways of doing this there's some more information here - surf encrypted tunnel
If you have good technical skills and some remote machines to utilise this can be done for free - there are tools and protocols you can use like ssl, ssh and VPNs. The software I use - Identity Cloaker sets up an encrypted SSH tunnel between me and the proxy I use automatically, this means that all my data is encrypted as it passes through my ISP and is protected from hackers, sniffers as well, it uses the military grade cipher AES used by Governments.
3) The Website you visit is also a big privacy risk - your IP address is logged on every web site you visit along with what you viewed and downloaded on the web site. This stays on the web server an indeterminate time - it just depends on how often they clear their logs could be weeks or years. This is fortunately quite an easy problem to fix and all you need to do is to stop the web server learning your IP address to surf anonymously.
Most people do this with free anonymous proxies, but it is hard work surfing via one of these proxies will protect your IP address from the web site you visit but unfortunately the free proxies are all servers that have been hacked or infected with viruses and so they don't stay up for very long and your browsing speed will be extremely slow whilst using them. NEVER, EVER send any personal information through your browser when using one of the free anonymous proxies, they are regularly run by hackers and identity thieves and they log all data passing through them.
Subscribers to Identity Cloaker get a private network of proxies to use currently spread across the following countries -UK , USA, Sweden, Netherlands and Germany about 40 seperate proxies at the time of writing.
So that summarises how to surf anonymously - you have to protect all these areas to be truly secure but many people will only do one or two of them. If you get the right tools and have some technical knowledge you can do it for free using things like TOR but you'll never get speed for free simply because bandwidth has to be paid for.
Good luck and stay anonymous online !