All proxy servers have the ability to track everything you do, and most companies providing legitimate services will only reveal this information if required to do so by authorities.
However, the bad guys track your activity for the purposes of gathering credit cards, birthdates and other valuable information. In fact, many ruthless webmasters set up proxy sites just for this purpose.
Many of the proxy sites actually report your IP address along with the IP address they are allowing you to use - known as a transparent proxy.
http://www.auditmypc.com/proxy-sites.asp

Here are the possible dangers of using a proxy:
Risk 1: Your Personal Information is at risk:
All your personal infomation goes through the proxy server and the webmaster or owner of the proxy can capture EVERYTHING if he/she wants to. Thus your email account, banking and credit card details, all may get stolen. Do not ever do banking transactions using a proxy server if you do not know who owns the proxy site.
Risk 2: Phishing:
A proxy site may have been specifically designed to harm YOU! Some one told you to use the proxy and behind it there could be fake webpages resembling your favourite email provider or of your bank. You submit your credentials there, and the page says some random error message, e.g. “server could not be reached”, which is again smartly designed by the proxy owner.
Risk 3: You get banned in some websites:
Some proxy servers IP are banned in certain websites. So you will not be able to access those websites using this proxy. This is not a risk though.
Risk 4: Transparent proxies:
Many proxies do show your original IP. Do not think that your IP is hidden from the website that you are browsing. Rarely the proxy servers give you full anonymity.
Risk 5: Spyware and Virus onto your computer:
Many proxy websites show lots of popup advertisements and also try to install malicious programs onto your computer. These programs are intended to capture your browsing patterns and even personal information. Beware!
Keep yourself aware of these dangers and you can have a safe browsing using proxy websites. Do use very welknown proxies. Unknown proxies may just have been designed to hack your personal information.

http://www.techmaal.com/5-dangers-of-using-proxy-websites.htm