If you want some anonimity (or just a way to get around a very restrictive firewall), go for
Tor. Just set it up and then configure whatever you want to use a Socks4/4a/5 proxy at 127.0.0.1 (if you put in localhost it might not work) on port 9050.
PS: If you don't like that ugly console window, check out
TorCP.