The Security Mentor

Antivirus companies try to keep up with new threats by visiting the web sites of virus writers. The virus writers block them. The only way a virus company can learn how to counter a fresh, not yet released virus, and the only way an anti-spam campaigner can study the latest software for spamming, is to come to the bad guys's web sites anonymously.

A less dramatic reason would be checking out a competitor's web site.

Or maybe you just want other people to mind their own business. There are lots of reasons to surf anonymously.

There's a sorta-OK Computerworld article about anonymous web surfing. It exaggerates what some of the anonymizing solutions can do. No, Computerworld, even the best out there doesn't make it "impossible" for someone to find out where you're visiting. There isn't enough discussion, to my taste, of the hazards of sites that take your web requests and redirect them so they appear to be coming from the proxy site. You've got no reason to trust a random stranger running an anonymizing proxy. A few years back there was a case where the German police forced a system like that to start monitoring its users.

But it does give good background and points to some respected resources. Worth reading.