There are free services out there, but just be careful because obviously if you use an untrustworthy proxy, the proxy itself can be used for identity theft since it handles all your traffic - not a good idea to use a free proxy for your personal banking.
I personally dont think anonymous surfying affords much protection, since a proxy wont stop you putting your passwords into a phishing site, or prevent a trojan or keylogger sending your details out from your computer.
A decent quality and properly configured inbound and outbound firewall such as ZoneAlarm, and daily updated anti-virus and anti-spyware will give you much better protection.