There are many proxy servers: Some are free and some are paid. Generally speaking, the free ones limit bandwidth, so if you want to access Hulu, YouTube, Amazon Video, or other streaming video, you’ll need a paid service.
Here’s a few lists of free proxy servers:
http://www.publicproxyservers.com/proxy/list1.html
http://proxy.org/cgi_proxies.shtml
http://www.proxyserverfinder.com/
A proxy server is sometimes called an anonymizer, though an anonymizer is a slightly different animal in which your request passes through several proxy servers in a row (changing the route dynamically in real time).
Here’s some anonymizers, though the paid ones tend to be pricey:
http://www.anonymizer.com/
https://www.torproject.org/
http://anonymouse.org/
http://www.onlineanonymizer.com/
http://hidemyass.com/ (previously mentioned)
Good luck! There are plenty of legitimate and honest reasons to use an anonymizer or proxy: hide your activity from oppressive governments (China anyone?), or purchase movies in regions where they’re blocked by the distributor (and I do mean purchase; while I believe in free-speech, I don’t condone software or media piracy), or to access the web from public wifi hotspots to hide your identity from packet sniffers and identity thieves.