Proxy and VPN service will both help in safeguarding your security and data on the internet. A proxy server is browser based and hence will not be compatible with a few web pages. But, the VPN works with all kinds of internet services. Your data is encrypted by a VPN service, but not so when you use a proxy service. Most of the applications will need special configuration to work when you use a proxy service. You do not need any special configuration when making use of VPN service.