A while ago I tried a kind of "distributed anonymiser" system called
Tor. It splits your traffic across multiple proxy servers rather than a single proxy.
Using Tor protects you against a common form of Internet surveillance known as "traffic analysis." Traffic analysis can be used to infer who is talking to whom over a public network.
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Tor helps to reduce the risks of both simple and sophisticated traffic analysis by distributing your transactions over several places on the Internet, so no single point can link you to your destination.
It works, but performance is a problem. Note that it doesn't remove the need to encrypt your traffic, that's up to the server you're talking to. So (for example) it doesn't make an electronic banking session any safer in itself, but it can hide knowledge of that session from 3rd parties such as governments.