When signing up for a VPN or proxy service, which service and the type of software you choose may depend on what device you're going to be surfing on. Smartphones and laptops are popular ways to surf the internet because of their mobility, and it's just because of their mobility that you should be more keen to hide your IP (You'll probably be connecting to open networks). Here are some types of anonymous surfing software available and which types of devices they'll be suitable for.

PPTP VPN

This is a pretty old school VPN protocol, but it's still popular. Though its not the most secure form of anonymous surfing you can use, it's better than nothing. Users which are not looking for anonymity per se, and just want to unblock sites, bypass firewalls, or need general privacy (as opposed to general fear of being spied on) will be happy with a PPTP VPN. It's fast, and most devices come with a VPN client for it (meaning that they're prepped to use it). Mac, Linux, Windows (XP/Vista/7), Android, and iOS systems are good to go for this one.

L2TP VPN

This kind of an upgrade from PPTP. It works for all the same devices, including mobile systems. This means for users on Android or iOS, if you're looking for better encryption, more privacy, and a better VPN, this is the one to go with. It'll cost you a bit more, but it's about middle of the road in the bigger picture. If you're on a laptop and looking for hardcore encryption though, you should probably get OpenVPN.

OpenVPN

This is third party software and I don't know of any systems that come ready to use it. It's easy to download though, and most VPN service providers will provide you with the means to get set up in a few minutes or less. The standard is 128-bit encryption, but military grade encryption up to 4096-bit is available. OpenVPN is not available for mobile devices in most cases. This works with Mac, Linux, and Windows without a problem. You may see it labeled as OpenVPN/SSL - this is only because it uses the OpenVPN tunneling with SSL encryption (Privacy + Security).

SSTP

This is another option for Windows 7 and Windows Vista users. It's a Microsoft product and offers similar encryption levels of OpenVPN. It only works with these two operating systems however, so it's available at all VPN service providers, but as Windows continues to make more upgrades to their operating systems and people switch form XP to 7 you'll start to see more and more that have SSTP as an option.

There are other types of anonymous surfing software out there, but these are the most popular and widely available.