All proxies are not equal, in fact it's probably fair to say that no two proxies are the same. But if you're online, and interested in privacy and security there's some basic differences you should know about. This is linked to the amount of information that is forwarded by the proxy about the client it is communicating with.
Any proxy can forward on an awful lot of information about your PC and IP address if it's configured to do so. Anyway here's a video about the different types of proxies from transparent to elite proxies.
It also shows you how you can use the switching feature in Identity Cloaker to provide a seriously secure internet connection.