As the title stands, proxies are piece of software that download information on your behalf and then forward them to you.
Proxy server is used for sharing internet connection among many PCs, providing basic anonymity, controlling web access and logging internet activity.
Although gateways do a similar function, proxies are more configurable in terms of access control and logging.
A breed of software called transparent proxies provide best of both the worlds - gateways (zero configuration) and proxies (access control).