The number one reason for me to use proxies in the first place is to be able to at least have a different IP for anonymous reasons as said above.. With all the spam and worms on web pages I would at least like to have my IP posted on the net as least as possible.

As for chaining proxies, never done it but im sure ill try. Im sure there is going to be a day where I need to buy a 'select few' DVD's from the local web shop. Maybe I don't want Joe X at the online video rental store saying my name in his head while looking at my viewing selections...