The proxy servers and VPN are not the same. Though they serve almost the same purpose but there is a slight difference between the two. I would suggest you to use VPN(Virtual Private Network) over proxy servers. VPN's are much more secure/reliable than proxy servers.
There are both free and paid VPNs. If you want to go for paid VPNs, try Hidemyass. It is the best VPN service. As far as free VPNs are concerned UltraVPN, ProXPN and CyberGhost VPN are the best.