Proxies can be provisioned using different protocols, and it’s important to check how yours works.
A HTTP proxy is a basic way of grabbing a web page via another server via an unencrypted connection. So while this kind of proxy will hide your identity and IP from the destination site, the proxy — which acts as the go-between — can see everything you’re up to, and probably has a financial incentive for keeping a record of it.
It is also possible for the proxy owner to inject additional content into the pages, which means you might get hit by ads (or, in some cases, more sinister additions, like hidden malware). A surprising number of proxies inject some form of code, or alter the content of pages, and these versions will be the ones your browser caches — so they’ll hang around even after you’ve disconnected.
A majority of HTTP proxies were found to block HTTPS requests. Why? They’re only interested in letting you access the pages they can track. That should give you some idea as to their business model.
A HTTPS proxy improves on the HTTP proxy by adding encryption between your computer and the proxy server.
It’s not perfect, but it’s an improvement on the HTTP proxy. However, even though the proxy server can’t track you in detail, it could still log the sites you visit on a basic level. These kinds of proxies are really only suitable for occasional use.
A SOCKS proxy is a more versatile version of a HTTP or HTTPS proxy. It can handle web browsing, plus additional protocols like email, ftp, and torrents. Using SOCKS with a torrent application is one of the main use cases and can help to prevent ISP throttling.
If your provider advertises SOCKS5, that just means that you can log on using a password. The server achieves this via SSH.
Unless you’re a hardcore torrent user, you might find the time and hassle required to set up and use SOCKS is excessive, compared to the ease of a VPN, which has more benefits and a shallower learning curve.
Web proxies allow you to use a browser-based form to navigate to a blocked web page, or to hide your IP from the site owner. Often, web proxies are free. They can be accessed without the need to install any software, which is a big benefit in some situations.
The downside is usability. Pages rendered through web proxies sometimes appear mangled or lack their original functionality. You might find that the layout is more basic, or some of the features don’t work. Additionally, you will almost certainly be hit with slow speeds and advertising when using web proxy services.
These proxies are handy for occasional usage where you can’t install software. You wouldn’t normally want to navigate the web using one.
Sometimes URLs are blocked at a government or ISP level, and anyone attempting to get to a site that’s on the block list will see an error page.
Proxy URLs are designed to get around these top-level blocks by redirecting an unblocked URL to a blocked one via a proxy server. Often, these URLs will not be widely advertised for obvious reasons.
In some countries, ISPs will be compelled by the courts to block websites; 451wiki maintains a list of websites blocked in the UK. In other jurisdictions, websites are blocked for political reasons — compare the UK list with this list of websites blocked in China.