Not for usual web browsing or anything, but I use them sometimes to get around megavideo time limits.
Actually I just realized what I use isn't a proxy, but a VPN. Search for hotspot shield on google and download it. It's apparently pretty popular for bypassing megavideo because it's not uncommon for me to be given an ip address that someone has recently run the limit up on so I have to get another ip address assigned to me. I was using illumitux to bypass megavideo but it didn't work most of the time. Thankfully I found hotspot shield.
Yes Personally I used VPN service for security reason, i watch netflix.It allows americal ip only so that i used VPN. I checked my ip using Ip-Details.com before and after using VPN service,then compare the IP's.