There are some misconceptions on privacy protection provided by the web proxy. Some people think anonymous means he is not traced anymore if he uses a web proxy.
This is not true at all.
Firstly, the web proxy site still keeps a record of your activities. The logs usually can be used as court evidence. Basically, the server that hosts the web proxy sites, by default, will write some access info (usually, your IP, your OS, browser…) in the log file. It is up to the system administrator when to delete or how often to rotate (i.e., delete automatically after how many days) them.
Secondly, some client-side scripts (e.g,. JavaScript) may get your info. Most web proxy scripts (PHProxy, Glype) can re-write Java scripts to avoid information leakage, only to a certain extent. The deliberately-written scripts are hard to re-write. The only solution is to disable Java in your browser. But nowadays, most sites need Java Scripts to function properly.
Thirdly, some advanced network traffic analysis software is able to get your real access info. Usually, the law-enforcement authority has a lot of such tools. For some not-so-advanced software, you may use https(HTTP secure) to escape them. But this depends on the implementation of the web proxy sites. Most web proxies do not provide this. You may try the secured web proxy here.
Anyway, the privacy protection provided by web proxy is not as much as you had thought. Usually, it works well to bypass firewall blocking, or to bypass the monitoring of your IT department, or to bypass the geo-location limitation for content delivery. For the two other types of usage (anonymous surfing, anti-government activities) of the top 5 reasons for using a web proxy, a web proxy is not useful.
You can always tell an expert! Thanks for contruibitng.