Anonymous Surfing?

Just Alex asks: "I just got Comcast High-Speed Internet service, and found out that just up to a few months ago they were recording the actions of all of their users and saving it for who knows what. Now I'm thinking about getting an 'anonymous' service like anonymizer.com, but I wonder what other folks are using. Are all of these services the same? What should I be looking for? And what people recommend given their experience with them? Also, which ones play better with Linux?"