It's difficult to choose between many of the different privacy software programs on the market - the problem is that they all offer slightly different features. Before you should choose which program is right for you it's probably best to run through some of the potential risks to your privacy.
Privacy on your Local Machine
If you share a computer with many people and your primary concern is to protect your privacy then this is possibly the simplest problem to solve. In fact it is unlikely you need any software at all as most of the new browsers have privacy features built in. These privacy features are all to do with removing traces of your web browsing from the local machine - that is cookies, web history and records. If you remember to clear your web history or use the privacy mode (in Chrome it's called incognito mode) then that should keep your surfing private from any shared computer users.
Privacy from the Web Sites you Visit
Every web site you visit will record details of your connection in their logs, this is based on your IP address so it can be linked to your computer and ISP account. To stop this happening you will need to surf through a proxy server, there are many privacy programs which search for anonymous proxies and change your browser settings to surf through them. In this case your IP address is not logged on the web server only the proxies is recorded.
Remember though your session is logged on the proxy server you surf through, make sure the privacy software you select uses safe, private proxies and doesn't just search for free ones on the internet - they are unsafe to surf through and are often run by identity thieves.
Total Privacy on the Internet
The final piece of the jigsaw is to protect your complete connection. THe most complete logs of all your web browsing history are stored at your ISP, these are generally kept for up to two years in the US and Europe. Unfortunately although governments legislate that these records are kept for two years so that they can use them for investigations they make no demands on how this data is secured or stored. THe ISP logs are a complete, full record of every web site, email or download you make on the internet - they should be highly secured - but are they?
If you want to make these logs unreadable, and your connection secure from wireless, ISP and other logs then you need to encrypt your connection. Look for privacy software programs that offer a secure VPN or encrypted tunnel - this will ensure that all your data is encrypted and cannot be read by anyone at all.