The thing about proxies is you are sending all your data through them. This includes usernames passwords etc. Even if the target site uses SSL, there are still ways a malicious proxy operator can sniff your traffic. I'm not saying don;t use proxies, I;m just saying be aware what data you are sending through them and balance it with how much you trust them.
In general you can trust a commercial vpn with your private data more than a free proxy.
https proxy means that your traffic is encrypted between you and the proxy. Third parties that intercept your traffic between those two points will not be able to know what you are sending to or receiving from the proxy, including your ISP. However the proxy itself anyone who intercepts the traffic after the proxy sends it on to the target site may be able to.
Within the scope of this question there isn't a significant practical difference between a socks proxy and a http one.
A vpn is basically just a bunch of proxies owned by the same entity tied together. When your traffic goes through a vpn is gets bounces around a few machines before exiting and being directed to the target site. The is good but bare in mind that the same entity owns all the nodes, meaning they can still trace your traffic through the network if they want to.
There are programs that let you chain proxies together. Proxychains is an awesome linux example. I don;t use Windows so I can recommend any for that platform sorry, but there should be some. Bear in mind though, that one proxy is slow, two proxies are slower etc...
This does not necessarily lead to "extra security" either.
You didn't explain your motivation for using proxies but I thought I;d mention if your goal was to do something illegal none of the above methods are adequate to protect you from law enforcement.