A Proxy service is one that places itself between an Internet user and the Internet site/sites the user chooses to visit. It can be compared to the snail mail process as follows: if you have a request you wish to mail to someone directly, you place it in your mailbox and it goes directly to the individual you have specified. Upon receipt of the request, the intended recipient replies directly back to you at your home address. This is how a typical Internet user interacts with the Internet. The user inserts the key words or the web address, and the site requested responds immediately back. The proxy service acts as an intermediary between the user and the requested site. Back to the example of the postal service: using a proxy service is much like using a post office box. Perhaps one wished for the recipient not to know who sent the information request, so a post office box is used. The post-man picks up the mail, delivers it to the intended recipient and the recipient responds back to the post office box, never knowing who really sent the information.
The benefit of using a proxy service for the average Internet user is simple it allows one to maintain Anonymity. For instance, if you are at work and your employer has blocked certain websites, by using a proxy server you could bypass this restriction (unless of course the employer has blocked all Proxy Sites, but that is rare). What would happen is this you could web search a proxy server and select one. This proxy service would then bypass the Internet restrictions your company has in place by making the request for you and then by returning the requested information to you via the proxy, and your employer is never the wiser to the websites being visited since all the data is flowing through the proxy.
A proxy service is also helpful when businesses need to access information that is sensitive and does not need to leak to the general public. Setting up a proxy server to mediate between the company and the remote server that houses the restricted data can do this. This allows the document to be accessed from the server in response to the clients request, but that is not the end of it it can also adjust the document so it is transcoded. The transcoded document can only be opened by the authorized computers with proper decompression tools. This is a great way to enable remote access while not compromising the security of sensitive data.