If everyone browses through a proxy you can control, monitor and record everything the users do through that proxy. Often in a coporate or education environment - you will be forced to use the selected proxy, the settings to change will not be accessible blocked by security.
So what do you do if you want to stop your web browsing being logged and monitored?
You need a Tunneling Proxy
That's right you need to create a tunnel between you and an external proxy by which you can encrypt and secure all your data. That means it can't be viewed, logged, recorded or blocked.
There's a few ways you can do this but most focus on two main tunneling methods - SSL and SSH both provide options. Most commonely SSL (Secure SOckets Layer) is used on port 443 and this is the way secure sites are often access like your bank or retail site. I personally use some software called Identity Cloaker which actually uses SSH although this tunnel is created on the port 443 simply because it helps obscure the connection and less often blocked on a company firewall.
So if you create a tunneling proxy outside the local network nothing can read the data from your browsing. All that is visible is an encrypted connection and no urls or other details can be seen.
Here's the software I use, this actually allows you to punch a hole in the external firewall by tunneling through the corporate proxy and connecting to one of the private anonymous proxies on the internet.
This is the screen where you pick one of the many proxies available to create the SSH tunnel between - the real beauty is that it piggybacks the existing proxy so you get through the firewall as well. I can pick a proxy in any of the many countries available.
Therefore with my tunneling proxy nobody can log my web browsing or what I do online. Because all my connections are unreadable then also content filtering won't be able to block access to any web sites either. You may have seen these running when you try and visit a web site and you get a 'BLOCKED' type message instead. These content filters aren't able to read the data in an SSH tunneling proxy session because it is encrypted so they can't read the url to block it.