Anonymous Browsing
Online activities, mistakenly perceived as anonymous, are not 100% private with many websites collecting aggregate and, sometimes, specific data related to your movement over their sites. This is because every time you access a website page, you communicate using a unique Internet Protocol (IP) address that allows for ongoing request/response between you and the website. Similar to your unique phone number which allows out-going and in-coming calls; no communication is possible without that number.
Presumably to protect your privacy, an anonymous proxy web surfing network should hide some of your basic online identity including IP address and limit recording what sites you visit through history or cookies. Anonymous surfing technology offers the possibility of excluding various components of the sites you wish to visit which could include phishing, pharming, excessive advertising or spyware.
Obviously, while there might be valid uses for anonymous surfing for someone in China or the paranoid, the technology is most likely obviously used for "grey area" purposes. Employees of organizations that restrict access to certain sites are common users of anonymous surfing - so long as the anonymous web surfing site is not filtered by the organization.
Anonymous browsing opens up some new risks to the user; all your activities are traveling through a single proxy server setup at a website. That website, then has the ability to record and monitor every action, mouse click, keyboard typing, and URL you visit. It is a reasonable and a good idea that you restrict your anonymous web surfing activities that pass-through a proxy server to those that do not require passwords or credit cards, and that are legal.
Anonymous surfing is inherently slower, especially those servers that are popular, than surfing directly because of the pass-through, filtering, and bandwidth-intensive network communication required to mask your direct access to a site.
Much more information on this topic is available at proxy.org.