I either choose to, or not choose to whilst I'm at work.
at the moment I'm chooseing not to.
I did have an adblocking proxy server setup at home once,
just to poinit out another use for proxy servers other than trying to be anonymous.
when I set up a proxy server, I set it up because there was me, my brother, an sister and my parents computer all accesing the net at the same time, that was years ago when the speed was just 512k. so a proxy server to cache items was very beneficial in helping things to run faster.