Anonymity does not have to be expensive - a free anonymizer that I would suggest would be JAP (Java Anonymising Proxy) which encrypts your web traffic on your PC (including URLs) and sends it to a server in Dresden to be decrypted and sent on. It is currently free (beta test), more details on
http://anon.inf.tu-dresden.de/index_en.html. I do use this a lot but it can be slow (56k modem speed or less) when it gets busy.
An inexpensive pay option seems to be that offered at cotse (
http://www.cotse.net/servicedetails.html) - $5.95 doesn't seem too pricey! Cannot comment on performance though. The only issue I can see is that being US-based, it would be subject to the "9/11 panic laws". JAP - being German - would not.
More stuff on anonymity can be found at
http://anon.efga.org/WebProxies or
http://webveil.com/matrix.html (he says, Googling quickly).