Virtual private network can be described as a better web proxy. Better protection, a higher level of anonymity, better encrypted. Plus if you need to bypass censorship or isp blocks, it's impossible with proxy.
The below listed free VPNs (really free, no credit card required) will usually give you some free data transfer per month, so it's useful if you need something safe to use occasionally on your phone or outside your home on a public wifi hotspot. Great as a free temporary vpn when needed.