I don't use them. It's too big of a security risk (the operators could watch what you are doing, easily steal any information sent over it... usernames... passwords... session cookies, etc.)
The only proxies I use are my own. When I have reason to believe that my surfing is being watched, I just build an SSH tunnel to my house, then use my proxy to surf the net (traffic inbetween the proxy & whereever I am is encrypted).
For anonymous proxies, find one with a good privacy policy and EULA. If they don't have one, don't bother... you have no guarantee of privacy.