What I meant was that whomever is hosting the proxy server might be looking to steal your information (ie you connect to YourBank.com through the proxy and they use a MitM attack to strip the SSL from the session and take your account info). I never assumed you had any interest in illegal activity of any kind. As for knocking on doors, a proxy will provide a good layer of obfuscation. Daisy-chaining them is even better. You'll probably want to use a SOCKS proxy.
Any public access point like Starbucks provides great anonymity as well. All roads eventually lead to the IP, but if that IP is used by hundreds of different people, then you could only be reliably identified by other factors. Unfortunately, though, most public access points run their traffic through a local web proxy that limits what kind of traffic you can send (generally doesn't play well with any traffic destined for ports not typical for web browsing).
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