Thinking of using a proxy server. How good are they?

[AgProv]

I'm getting hacked off with not being able to access some media content, ie some music videos, TV shows, et c, because the content is "not available to me where I live" or "the copyright owner has placed restrictions..." or "sod off, you live in the wrong country". This is particularly galling with some music videos I used to be able to freely watch on You-Tube in Britain with no restrictions - until Sony Music Entertainment got their grubby fingers on them and imposed restrictions.

I've heard proxy servers allow you to get round this.

Do they work for this purpose, how reliable are they, and are there any drawbacks?

BTW, I do not like yahoo adding adverts to the bottom of questions based on question content. Anything that may be advertised when this question goes live was not chosen by me, is not endorsed by me, and is likely to be defective, dangerous, toxic, shoddy, poisonous or just downright crap. If any adverts for SME come up, then the above applies tenfold - SME are money-grubbing scumbags. Thank you.