Most people don't use a proxy service for security alone. It's primarily used to get past filters and covers tracks. This raises some interesting ethical and moral issues.
If a public institution is blocking you from viewing certain content, (Schools, Work, family) is it really their right to decide what is appropriate and what is not? It would also be inappropriate to go to the university pub, get piss drunk and harass any member of the opposite sex within a ten foot radius--"the powers that be" can't stop that from happening with technology.
Should Web-loafing be accounted for in the work place? Proxies for School. Will the stark fist of complete internet control reign supreme?