Most of the time Proxy sites can mean bad things to a server, one reason you most likely would be hunting down a proxy is because it's using up all your resources- That's one of the main reasons people don't allow them on their servers, how do I locate a proxy site on sever?
Spamers shield their identity or source. They usually do this by taking over servers, computers, hijacking mail servers, or exploiting an e-mail account but often a proxy can be used to shield the spammers IP. It's typical for basic hacking programs to allow for proxy use as well. Proxies can be good (filters), bad (bypass filters) or ugly(malicious use).