Proxies are common ways to encrypt your traffic and make it more difficult for others to find out what you are doing online. There are many services online where you can use proxies, for a cost, to mask your traffic to protect yourself, including paid services, international proxy services, and peer to peer proxy services. But often times, the easiest and cheapest way to mask and encrypt your network traffic in unsecured places are by using a service that is already encrypted, by yourself over a VPN.
Many of the consumer routers out there are now allowing this capability. And the cost of professional routers are getting cheap enough to load them as your own. Take a quick look at how you can set this up using Netgear routers.