There are some potential problems with anonymous proxies.
- You don't know who is running them. Yes, the operators could be someone advocating web privacy, but they could be just as likely hackers waiting to intercept your information or government agencies snooping around.
Your ISP probably doesn't care whether or not you use an anonymous proxy. As for general security, any data you receive or send now pass through one or more machines (the proxy servers). It's up to the users whether or not to trust them. Users need to be aware that some proxy servers support HTTPS while others only plain HTTP.
A quick classification of proxy servers:
- transparent proxy / corporate proxy (usually not anonymous, used for caching, monitoring, filtering, etc.)
- anonymous proxy (users' IP addresses are hidden, but the proxy identifies itself as a proxy)
- highly anonymous proxy (the proxy hides the fact that it is a proxy)
As a rule of thumb, using anonymous proxy servers offers some level of privacy (e.g., prevent web site tracking), but does not render their users truly anonymous. Any TLA can easily find out who these "anonymous" users are and what they are doing.