When you think about proxies and that the information you submit and collect from the internet bounces through various computers, I feel safer not using one unless it's tunnelled or encrypted, so that the computers you're bouncing off can't hack in to the information.
Banking, for example, is usually done in a browser with a secure socket layer (the padlock in the corner), and that should be enough protection. Proxies are good for anonymity and fooling sites into knowing where you are. For example:
There's a few free offers to download software on the proviso that you're a resident of XX country, but when I register from an Australian IP address, it tells me I have to reside in XX country. So, I find a proxy in XX country and can register. hehe.
If you want a secure proxy connection that hackers can't break into, you'll probably end up paying for it. I understand Tenebril's GhostSurf is one of the better ones and even hides the information from your ISP through a security layer (http://www.tenebril.com/consumer/
), but as always, it's best to shop around. GhostSurf has it's flaws.
Besides, hackers might think that hacking a proxified connection is more of a challenge ..!