Using a proxy is slower than connecting directly to a web page.
I know it said somewhere that behind a proxy you are anonymous (i didn't say invisible) , but not completely... you can really be traceable if someone or some agency wants to crack down on you.
not really
for instance, i sometimes use proxy in order to lower my latency, (changing routes) and the difference is pretty good ! (250-400 ms on WoW :P)
as for other agency's tracking you ... u could give them hell by bouncing on different proxy's and using secure tunneling. but ntn is untraceable :(