What is proxy server (wikipedia)

In computer networks, a proxy server is a server (a computer system or an application program) which services the requests of its clients by forwarding requests to other servers. A client connects to the proxy server, requesting some service, such as a file, connection, web page, or other resource, available from a different server. The proxy server provides the resource by connecting to the specified server and requesting the service on behalf of the client. A proxy server may optionally alter the client's request or the server's response, and sometimes it may serve the request without contacting the specified server. In this case, it would 'cache' the first request to the remote server, so it could save the information for later, and make everything as fast as possible.

A proxy server that passes all requests and replies unmodified is usually called a gateway or sometimes tunneling proxy.

A proxy server can be placed in the user's local computer or at specific key points between the user and the destination servers or the Internet.

Why you need proxy server
Any web resource you access can gather personal information about you through your unique IP address – your ID in the Internet. They can monitor your reading interests, spy upon you and, according to some policies of the Internet resources, deny accessing any information you might need. You might become a target for many marketers and advertising agencies who, having information about your interests and knowing your IP address as well as your e-mail, will be able to send you regularly their spam and junk e-mails.

A web site can automatically exploit security holes in your system using not-very-complex, ready-made, free hacking programs. Some of such programs may just hang your machine, making you reboot it, but other, more powerful ones, can get access to the content of your hard drive or RAM. Everything a web site may need for that is only your IP address and some information about your operating system.

Using an proxy server you don’t give anybody chance to find out your IP address to use it in their own interests

Risk Of Using anonymous proxy servers
In using a proxy server (for example, anonymizing HTTP proxy), all data sent to the service being used (for example, HTTP server in a website) must pass through the proxy server before being sent to the service, mostly in unencrypted form. It is therefore possible, and has been demonstrated, for a malicious proxy server to record everything sent to the proxy: including unencrypted logins and passwords.

By chaining proxies which do not reveal data about the original requester, it is possible to obfuscate activities from the eyes of the user's destination. However, more traces will be left on the intermediate hops, which could be used or offered up to trace the user's activities. If the policies and administrators of these other proxies are unknown, the user may fall victim to a false sense of security just because those details are out of sight and mind.

The bottom line of this is to be wary when using proxy servers, and only use proxy servers of known integrity (e.g., the owner is known and trusted, has a clear privacy policy, etc.), and never use proxy servers of unknown integrity. If there is no choice but to use unknown proxy servers, do not pass any private information (unless it is properly encrypted) through the proxy.

In what is more of an inconvenience than a risk, proxy users may find themselves being blocked from certain Web sites, as numerous forums and Web sites block IP addresses from proxies known to have spammed or trolled the site.