For a controversy of security of proxies in general and how to use them in conjunction with Tor, see Tor + VPN or Proxy.
Proxy Types
This is a brief overview with a comparison of features of proxies, which you can find on many free proxy sharing websites. It's not about the proxy protocol. Not a comprehensive discussion of all aspects of proxies. Some points required for understanding.
Footnotes:
^1^ Not when being used as a transparent proxy.
^2^ Tor offers a socks5 proxy but Tor does not support UDP.
^3^ Some of them don't even hide your IP, see 'http forwarded for' header.
^4^ To the destination server, for example to the webserver torproject.org.
^5^ ISP (internet service provider) can see connection details, including destination server IP and package content. (Package content will be only hidden, when end-to-end encryption is being used.)
CGI
CGIProxies (proxy web interface). There are no redirectors for any types of CGI, you can use them only using their web interface.
user-to-proxy encryption: possible, if the CGI provides this feature (https).
http proxy
Do not support the connect method (see below). Therefore connections to SSL protected websites is impossible.
http supported ^4^
https not supported ^4^
UDP not supported ^4^
Remote DNS resolution supported ^1^
Note: ^3^!
user-to-proxy encryption: no ^5^
https proxy
https proxy is misleading, as the connection to the proxy is not encrypted. The proxy additionally supports the connect method, which is required to access SSL protected websites and other services than http.
http supported ^4^
https supported ^4^
UDP not supported ^4^
Remote DNS resolution supported ^1^
Note: ^3^!
user-to-proxy encryption: no ^5^
socks4
http supported ^4^
https supported ^4^
UDP not supported ^4^
Remote DNS resolution not supported
user-to-proxy encryption: no ^5^
socks4a
http supported ^4^
https supported ^4^
UDP not supported ^4^
Remote DNS resolution supported ^1^
user-to-proxy encryption: no ^5^
socks5
http supported ^4^
https supported ^4^
UDP supported ^2^ ^4^
Remote DNS resolution supported ^1^
user-to-proxy encryption: no ^5^