Also, it should be noted that a VPN will hide ALL of your internet traffic, whereas a proxy will only hide traffic from one specific application, leaving your computer's other activities, including DNS history, and other connections that your computer makes exposed directly to the internet. A VPN on the other hand will ensure that not only will your identity be hidden from the internet, but the activity itself will also be hidden from your ISP. This adds an even greater layer of protection against a number of things.
