In the web surfing world, when a user wants a proxy it is usually to hide there activity.
Example of normal web activity
myBrowser -> Connect Through My ISP Connection -> "a website"
Technically the website I just connected to can trace me, of course it isn't easy but in legal matters it is definatley doable.
First part is easy: take my IP address and then locate the ISP that the IP address belongs to
Second Part, contact that ISP and ask for the user who was using this IP address at such and such time. With a Court order this really isn't that hard either.
Example WIth a proxy:
myBrowser -> Connect Through My ISP Connection -> A proxy Site -> "a website"
Now it loks like you are coming from the proxy and hiding you actual IP address. Although this isn't entirley true. If there are legal issue it can still be traced because the proxy site knows you IP address.
The only real benefit to using a proxy is if you are trying to hide your surfing on your local machine, because your history will always show that you were connected to that proxy site rather than the pron site you are trying to hide form your wife, girlfriend, mother or whatever. And there are better ways of doing that as well.
More legitimate uses for proxies exist in the corporate network security world. but I won't get into those now..