"Theoretically, a hacker could set up a proxy server, and then use it to capture information about the Web sites you visit. And if you type in user names and passwords, he could steal those as well."
-- ComputerWorld
Theoretically? Why else would somebody set up a proxy server?
1. Somebody could set one up out of the goodness of their heart. That seems a stretch, but it's the core belief of the CW article and lots of other 'helpful hints' about how to browse safely.
2. Somebody who wants to anonymize his own traffic would need to wash it in with a bunch of other traffic.
3. Or maybe they want to run some click fraud through Google or another PPC network.
4. Or maybe it's the government setting up honeypots and sting operations to watch for terrorist or other serious illegal activity
5. How about for marketing research? It provides deep insight into a weird audience.
6. Maybe even just for legitimate marketing? Running a proxy allows you to insert ads wherever you like on the pages you serve.
7. Or less legitimate marketing -- overwriting ads from competitors with your own. Insert your own affiliate ID in place of others.
Hmmmmmm... I think I should deploy my own anonymizing proxy server. What an interesting experiment.