It is fairly well understood that free services are not to be trusted. The saying being, that "if you're not paying, you are the product". In regards to VPN services, where privacy and security are on the line, this is rather concerning.
Most sites that collect and store your personal information on the internet focus on one particular area, but your Internet Service Provider (ISP) has access to shallow but broad information on what sites you are accessing and when. They can sell your information to advertisers, or even inject ads themselves into your websites. This is one of the major reasons that people use VPNs. However, by doing so you are giving your VPN the exact same information you would have given your ISP.
PenguinProxy is also a free VPN. But we will never sell or use your personal data. Nevertheless, the saying holds true, and our customers are indeed our product. This is because PenguinProxy is a Peer-to-peer VPN, where our users mix their requests between themselves and complete them for each other. As a result, any website which tries to build a profile on you will be fed confusing and contradictory information.
You may ask: "Is this secure? How do I prevent other users from doing bad stuff on my computer?". There will be a longer blog post on security and privacy guarantees later, but in short, by limiting ourselves to HTTP(S), we limit our attack surface and for HTTPS traffic you are just as secure as you are through your ISP. We also have a number of heuristics and filters to detect and prevent bad behaviour.
The other question you may have is "If you are not selling our information, how does PenguinProxy benefit from this?" The answer is that we are trying to build the kind of VPN that we ourselves would like to use. In addition to being developers, we are also PenguinProxy users. If you are a PenguinProxy user, some of your requests might be going through our computers even now, and vice versa. We also don't like censorship, spying websites, or targeted advertisements either. Let's all work together for confusion to the enemy.