Proxy servers can do a lot more than just keep your privacy with you. Of course, all the other things it can do stem from that basic function; but it's just that this particular feature can actually be put to various uses and advantages - one of which is downloading faster, especially with torrents.

Anyone who's a full-on downloader online knows of torrents and how they get you the best of movies and music and television shows, mostly for free. However, something most users know or don't know is that your ISP is not really very happy about you being so happy. That's because anyone downloading huge files via torrents are hogging the bandwidth, meaning less traffic for them potentially. And since it's the "almighty" ISP, he can see very well what it is that you're downloading and from where. Therefore when initially you'll see speeds soaring to 125 kbps, it will eventually come down to 25 kbps, and you'll be wondering what happened. Well your ISP happened. He just throttled your connection.  

Most BitTorrent clients offer an encoding option to ‘mask' the data that you send and receive via the torrent in order to let you get away with high speed at the cost of your ISP's bandwidth. However, ISP's have become smarter and these tricks don't seem to work anymore. Therefore proxy servers come to your aid. You will find quite a few torrent clients that act as proxy servers themselves. These pass their IP address as yours, so it actually seems like they're downloading and not you and thus your speed stays pretty good. Then there are third party proxy servers which you could use for downloading torrents. These work in the same way that browsing proxies work.  

You could go in for the torrent client-cum-proxy server, but there's a very good chance you might have to download a program onto your comp, and if you're not sure then you really shouldn't go ahead with it. Third party proxy servers, on the other hand seem pretty safe. You could try out a few and then stick with what you think is the best.