Tor's good, performance suffers but that is a trade off you will have to deal with. There are other some other issues - Tor did not generally protect your DNS footprint in earlier releases but that hole has been closed in recent versions. General purpose proxying may or may not hide your DNS footprint either but this may not be an issue if the anonymity you are looking for is specifically at the end point rather than local.
One problem with Tor is that it has been attacked in the past (see here) as part of an academic exercise but that weakness still exists and you must be very careful about end to end encryption if you are choosing any anonymizing system, not just Tor, as it is a trivial exercise for the person running the proxy\Tor node to inspect traffic for anything interesting which is what happened in this case with fairly shocking results, frankly.
Also there has been quite a bit of recent work in relation to "de-anonymizing" sessions based on other things (like browser meta-data footprint that Panopticlick uses) and things like hijacking web history to build up an identity based on Social Network Groups memberships.
@BlueNovember - thanks for link, anyone else have used Tor before, opinions please? – c1. – 2010-02-07T15:44:05.760
1Generaly proxy server aren't secure and Tor achieve better security, but is also really slow – fluxtendu – 2010-02-07T20:35:44.507