PHP Proxy Scripts

So what can you guys/gals tell me about running a PHP proxy script on my server?

I've seen several turnkey sites for sale and my interest is piqued in them as I could use a proxy script for my own private purposes (eg: going through it when at work or other non-personal machines). I don't know if I'd run it just for my own private usage and anybody else who happens to come across the URL or if I'd push it to the public.

So what you can you tell me? The good? The bad? Recommend scripts to use? Scripts to stay away from? Best practices?



Thanks,
Kevin