Also check out stunnel (very limited experience with this), privoxy, and freecap. Used in conjunctoin with TOR is a good idea as welll.
A better explanation than I could provide, taken from somewhere:
"Stunnel encrypts the data between you and your news server and is very simple to use.
Freecap is also easy to setup and acts as the bridge between Stunnel and Tor.
Tor is a connection-based low-latency (meaning fast) anonymous communication system that protects TCP (Transmission Control Protocol) streams for Usenet, web browsing, instant messaging (IM), internet relay chat (IRC), Secure Shell (SSH), etc.
In basic language Tor is a socks server that accepts and encrypts data from any program that is "socksified", meaning set up to communicate with it.
Tor is a new program and is still in experimental mode. But it is still a fully functioning Socks proxying system that offers the promise of great anonymity and privacy. It is free and open source. It is supported by the Electronic Freedom Foundation, a web based charity dedicated to freedom of speech online.
Tor will build automatically and transparently to the client (you) an anonymous and encrypted route across the Net. It uses multiple layers of encryption, each node only knowing the previous and next node, so with several nodes your data becomes anonymized. The principle is like an onion with many layers of encryption and anonymity. Thus it is called onion routing.
Remember, the data is encrypted both by Tor which uses TLS (Transport Layer Security) and by Stunnel which uses SSL (Secure Socket Layer) as it leaves your desktop through your ISP and on into the Tor network. Where it exits the Tor network it continues onwards as SSL encrypted data on its way to the news server or wherever.
For Web browsing we need Privoxy. This again acts as a bridge between your browser and Tor.
A web proxy is a service, based on a software such as Privoxy, that clients (i.e. browsers) can use instead of connecting directly to the web servers on the Internet. The clients then ask the proxy to fetch the objects they need (web pages, images, movies etc) on their behalf, and when the proxy has done so, it hands the results back to the client.
There are many reasons to use web proxies, such as firewalling (security), caching (efficiency) and others, and there are just as many different proxies to accommodate those needs.
Privoxy is a proxy that is solely focused on privacy protection and junk elimination. Sitting between your browser and the Internet, it is in a perfect position to filter outbound personal information that your browser is leaking, as well as inbound junk. It uses a variety of techniques to do this, all of which are under your control via the various configuration files and options. This need not be a concern as the latest Vidalia bundle from the Tor Website now includes Privoxy with Tor and does all the setup for you transparently. It also includes the Torbutton which is a very useful feature that allows immediate choice of direct or via the Tor network connections.
Privoxy will bridge the connection between your browser and Tor the Socks proxy host. It will minimize pop up ads, etc. But its main advantage is it will help prevent information leakage from your desktop to any third party trying to sniff your data. Used in conjunction with Tor it ensures all your Web browsing is totally anonymous.
There is no need to close Privoxy if you wish to use your news client or whatever. These programs are totally transparent to you once they are running. "