Also many free proxies are run by big brother, the MPAA, or cyber criminals. Either way, most of them snoop on your data from passwords and other personal information. Also, just setting your apps to run through a proxy doesn't make you that anonymous, sure it hides your IP, but HTTP, bittorrent, etc all have a lot of information included in the protical. If you are doing something ilegal, that information might not be enough to arrest you but i might be enough to get a warrant.
There is always tor, but you only need to be that paranoid if the CIA is REALLY after you, or you are doing something REALLY illegal, like child porn. In either case, you'll probably get vanned eventually, anyway.