Using a proxy for anonymous surfing is easy. Even in The USA, where the internet is relatively unaltered and free compared to some areas of the world like China and Iran, there are reason why you might want to be anonymous on the internet, even if just for general privacy. There are both paid and free services available, and they can be used for a number of reasons.

Unblock sites

If privacy isn't your concern, then unblocking site probably is. You could be at work or school. Or maybe your mom blocked Facebook. Whatever the reason you don't have control over the network settings, and whatever sites the firewalls is blocking, a proxy can help unblock them. A proxy sits outside your network. As long as the proxy itself hasn't been blocked by your firewall, you'll be able to access the proxy server, and have the server 'fetch' the information for you.

IN the case of some of the more popular free proxy services like Hide My Ass and Hotspot Shield, you may find that the IP addresses from their servers have been blocked as well. I have found that paid proxy services do a better job of hiding their IPs from "blocked lists", and also providing fresher, un-abused IP addresses.

From a personal example, I live in China, and most free proxy services have been blocked here. However, I'm able to access some paid proxy services without a problem.

Anonymous Browsing

Unfortunately, proxies do not hide the IP address of programs and apps running on your computer and phone. However the do make your browsing and all activity done through your browser anonymous. With no installation necessary, it's very convenient to be able to access the anonymous proxy servers from your browser, no matter what device you're using. It may be at work, at home, on your phone, or on a shared computer. This makes any internet session, on any computer anonymous.

Proxy anonymous surfing is best done through web based proxies. There are free and paid services available online. Paid services are going to provide faster servers, help bypass more firewalls, and you won't have to waste time looking for a proxy that isn't over logged with other users clamoring for free services. I frequently use proxies, so I don't have the patience for slow and unreliable online tools. Free web based proxies are best for kids trying to unblock sites when their parents aren't home or their teacher left the computer lab.