Overview of proxy types

There is an article on Wikipedia giving an overview of proxy types.
JonDo is an anonymity proxy which is installed locally on the computer. JonDo itself is kind of an access program to mix cascades. Using these mix cascades, any relation of user and IP is hidden which enables the user to be anonymously on the internet.
Mix cascades are not installed locally on the computer but consist of several servers which are available through internet. They decode and encode messages, mix them (hence the name) and disguise them so that they cannot be assigned to any user from an attacker's view.
Proxomitron is a filter proxy running as a local service on the own computer. Using filters enables Proxomitron to filter harmful JavaScript, Java applets, cookies and HTTP Headers. This is accomplished by rewriting requested websites before passing them on to the browser.