Whenever someone tells you something is free, you should be instantly skeptical. Unless it's coming from a beloved friend or family member, most people won't put forth very much effort to do something for nothing in return.
One must ask, what is the "Free Proxy" getting out of this? How are they profiting? I can assure you that they are making money. Piles of money, but you are NOT their customer. You are their product.
In the case of "Free Proxies", you are paying in several ways.
The proxy service is almost definitely harvesting your data and selling it to 3rd party buyers. These buyers may be marketing companies, governments, copyright enforcement groups, lawyers, law enforcement, etc. For the more benign "Free Proxies", it stops here. They simply sell your data. Kind of defeats the purpose of using a proxy to begin with, right? You wanted to be anonymous, and your anonymity just got sold to the highest bidder.
Worse still, some "Free Proxies" will infect your machines. This post by Christian Haschek gives some of the more technical details on performing an attack like this through a "Free Proxy." It's clear that it doesn't require a whole lot of technical know-how to pull off. It's also clear that it's going to work against most users.
"Free Proxies" do not provide you with anonymity; they probably sell you out faster than your ISP would.
"Free Proxies" can infect your computers easily.
"Free Proxies" profit by selling your data & possibly access to your machines.
To "Free Proxies", you are the Product, not the Customer.