Tor helps to preserve your privacy online while also securing your connection.
These links provide great documentation.
http://www.torproject.org/overview.html.en
One major problem : Tor is a bit slow . It need more relays ! If you have at least 20 kilobytes/s each way, please help out Tor by configuring your Tor to be a relay too.
Of course you can be both a relay and user at the same time. 
I have found tor very useful as it helps to bypass censorship and defeats sniffers. :-TU