Sometimes you can go about your business out in the open, on the Internet and everywhere. But sometimes you don’t want to be seen. It’s a good thing there are lots of privacy apps and options. It’s a bad thing that most people don’t know when – and why – to use a particular tool.
VPNs are a great example. Your source traffic “submerges” and only re-emerges at the VPN endpoint, so your traffic looks like it’s coming from that endpoint, not from you. This can be anywhere from nice to life-saving, depending on your circumstances.
When would you use a VPN? When you want ALL of your traffic to pass through that VPN. Remember, if you’re running scans and testing remote systems, that traffic is (mostly) not HTTP, it’s various manipulations of IP and nearby protocols. Hiding your browser traffic, like a proxy will, doesn’t hide scanning traffic, or chat or video or torrenting or any number of things. (That’s why you don’t torrent or watch video in Torbrowser.)
Here’s a nice little piece about VPNs, with some intelligent questions in the comments below. It’s required reading for this course.