Maybe I'm misunderstanding the difference between proxy's and proxy sites, but this is what I mean.
Some Of the Dangers
There are many dangers that come along with using open proxy servers. This is why many online Internet services and companies have started checking or 'probing' your connection when you join their service. The probing that is done is simple and harmless, it simply checks to see if your connection has common proxy ports open. If the ports are found, the service will make sure that it is a closed proxy system by attempting to make a connection to it. If the connection is made, it will check to see if it requires a password to use it. If the proxy is found to be open it will raise a red flag and sometimes deny you from using or purchasing their services.
These service checks or probes are harmless. They simply make sure that the user is not on an open proxy. If the proxy is open, they have no way of making sure that you are who you claim to be. There are far to many hackers using these open servers to commit credit card fraud, attack other online users, hack into computers or any one of hundreds of other illegal activities. If you are using an open proxy, someone can be watching your every move! To date, there are COUNTLESS honeypots and hackerpots out on the net. While thinking that you have made yourself more secure, you have actually opened yourself up for attack. When using an open proxy server, your PC is making a direct connection to another computer. You also do not know who is in control of this computer. Your passwords can be sniffed and your firewall tunneled. Your privacy can also be invaded as this person reads your email, snags your ICQ, IRC, AIM, MSN messages or any other unencrypted data that is sent through one of these obvious honey or hackerpots.