Here are some of the available proxy packages that are free for any user to use. All these packages are literally plug and go applications (if your hosting has the required specs).
Great if you want a proxy set up in 5 mins!
PHProxy - is a great little script, it is so easy to install. You can have a working script in minutes of uploading! The only draw backs are that it cannot log into sites very well.
Zelune - comes with a simple but editable design, it can be easily wrapping into a site. It has simple options like opining in a new window, etc. There are no bad points to it, but still has problems with logging in to sites.
CGIproxy - CGIproxy is slower than PHProxy, but is more secure for the user. If a website requires javascript then CGIproxy is the script to use, it has excellent compatibility with SSL and will login to most websites. The only problem is that it requires alot of power from the server.
Surrogafier - Fairly new script. Offers more advanced options for the user but still does not support SSL.
Glype - Glype is a average but yet popular proxy, it is fast and does the job required.
BBlocked - BBlocked is a little new to the scripts on the market. One of the finest features is the template system where webmasters can easily change themes.