Proxy much?
Tor is free. But isn't that optimal with securing your private data. Same for free VPN's as hotspotshield, also works, but isn't that good either. Tor has most of its IPs banned on most boards (eg 4chan) though.
You can get some good proxy lists through google. Not all of them are up offcourse. With a simple script you can copy/paste them. Ping them, and only show the proxies that are up. If you're looking for the Elite fully anonymous proxies, you need to dig further.
A bit of shameless self promotion here, but we (the psych0tik crew) re-released proxyElite.net, which has a pretty good list of usable HTTP proxies. We test them pretty regularly, and from my random samplings, it seems like they are generally accurate.
As for proxy types, wikipedia[1] has a pretty good listing of the various types. Depending on what you're looking to do, you'll want to select the one that provides the level of anonymity (and possibly other features) that fit your situation best.
[1]https://secure.wikimedia.org/wikipedia/en/wiki/Proxy_server