Free Proxy lists and Security

I read an article recently and it scared me. I have a proxy and if u do this should call for your attention. I dont know about u but i got my proxy from a list that was off some web site that at the time I didnt take any considerations on security. How do I really know that this proxy server isnt caching my personel data and doing something with it. I mean if the proxy server is free what are they getting out of it. Free for nothing, come on. If you have a proxy and u know for sure it is secure let me get that servers IP :) I dont feel safe anymore. Would someone plz give a little tutorial about different kinds of Proxies and there functions. What is the safest kind of Proxy out there?