Proxy
A proxy forwards requests for a single application, usually a browser. There is no requirement that the connection be encrypted, and free proxies frequently are not. Everything outside the configured application takes the normal route.
It is a tool for changing an apparent location cheaply, not a privacy tool. If the proxy operator is unknown, you have added an observer rather than removed one.
VPN
A VPN encrypts all traffic from the device and routes it through a server operated by a company you have chosen. Your network operator sees an encrypted connection to one address; the VPN provider sees where you go.
The whole value depends on that provider being more trustworthy than the observer you removed. This is why audits, jurisdiction and logging policy dominate a VPN decision, and why "which is fastest" is the wrong first question.
Tor
Tor routes traffic through three relays operated by different volunteers. The first knows who you are but not where you are going; the last knows the destination but not who you are. No single party has both halves, which is a structurally different guarantee from trusting one company.
The cost is speed. Tor is slow enough to be unusable for video and awkward for ordinary browsing, and exit nodes are frequently blocked. It is the right tool when the threat model genuinely requires that nobody holds both ends, and the wrong tool for watching a streaming catalogue.
Choosing
A short version, by what you are actually trying to do.
- Hide browsing from your ISP or a network operator: VPN
- Appear in another country for a service: VPN, or a smart-DNS service if privacy is not the goal
- Prevent any single party knowing both who and where: Tor
- Route one application cheaply, privacy not a factor: proxy
- Automate requests at scale: a dedicated proxy service, not a consumer VPN