I've read some articles here and there, and a few of totse.com
It has come to my attention that many of these anyonymous proxy sites are acutally owned and run by the federal government. I'm not exactly sure which ones, but that brings up a lot of issues for hackers. Point and simple: if your just trying to get past a school filter, you're safe, for the most part, because the gov't couldn't care less. But if your proxy chaining, gearing up to do some actual stuff to someone (with malicious intent) then watch your back, 'cause if it gets serious, those proxies you used most likely are owned by the alphabet boys (FBI, CIA, etc.) and they will nab you.
Just some friendly advice:
If your serious, make a prog to change your MAC address very fast (in the milliseconds), connect to trusted proxies run by people you know, or make your own.