I'd say 99% of websites record traffic information. Things like your browser, operating system and IP address. It's not a bad thing since an IP by itself doesn't really mean much. To actually track down a person using an IP address is very difficult and requires the ISP to release usage details (which most ISP's have a privacy policy against anyway). So for all intents and purposes, this information is almost anonymous.

If you want to use a proxy, go for it But be prepared to suffer a loss in speed. There's usually not a good compelling reason to hide behind a proxy. That'd be like going to the supermarket wearing a wig -- why?

There might be some specific situations where it might be useful. The Tor network is a very good service for anonymous 'net usage (not for filesharing, though, too slow). Basically it tumbles you around multiple Tor servers (all of which make a point to store absolutely no usage information) before finally sending you to your destination.

If you're reason for wanting to remain anonymous is to keep your IP address hidden from hackers, then your efforts are better spent securing your environment. Something as simple as a NAT firewall (every router you buy these days will have a NAT firewall) will go a long way to securing your computer.

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