Dangers and Moral Responsibilities
The use of proxies is generally frowned upon. While some people use proxies simply for anonymity and safe web surfing, others use it to circumvent filters at places like schools and work.
While it is ultimately your decision, there are possible consequences for using proxies at the wrong times. Some schools will suspend your computer rights or worse. In the worst case scenario, you can get expelled.
Jobs and offices use web filters in order to increase employee productivity. If you are caught using a proxy, it is not impossible that you will get fired. Make sure to check up with your employer whether the use of proxies is allowed.
Also, while many proxies are made by legit webmasters just trying to make money, some are created by hackers. It is not unheard of that a user logged into their MySpace or Facebook account, only to later find out that the password was changed and it was hacked into.
Make sure that the proxy can be trusted, and isn’t going to just steal any data that you enter into it. I personally don’t suggest you enter any financial or important information into web proxies, because you never know.