Your IP Address And Other Information
This Information Is Given To Us By Your Browser!
This is the information sent to us by your web browser. It details where you are in the world as well what system you're using and is sent to every webpage you visit. It isn't a bad thing usually, some websites need to know this information to show you the right webpage for your location. It's called "Geo Targeting" and makes sure you get the relevant content for your area. Advertisers use this information as well to give you the right ads, it's not so useful to see ads for France if you're in the US for instance.
Other things are used as well like cookies and web beacons, it's all used to track you and the websites you visit for monitoring purposes. It is also used to give you country specific content as well, for example, TV companies use it to give you the online channels and episodes of programs but block it for all other countries, so you only see what's allowed in your region.
Using an anonymous proxy hides this information from websites you visit, this makes you anonymous online and keeps your actual location hidden. It can also confuse the web trackers too so you'll not be able to be tracked so easily. Anonymous surfing can be a benefit if you don't want anyone to know where you are or what you look at, as well as unblocking some sites like at work or school, or even from some countries who's governments block websites. Tracking does have it's uses of course, especially for commercial sites that you buy from and personal finance sites like banking etc. but some people prefer to be anonymous online. It's YOUR RIGHT to be anonymous.