to want to hide your IP address or in other ways anonymize your internet activity besides downloading pirated material, and at least one of them has been mentioned by one of the people looking for answers here: in order to view content that is blocked by people not coming from the right country.
This particularly affects American users who are traveling or working overseas but still want to, say, access video content on Amazon or Hulu, etc.
Another reason to want to disguise your internet activity is if, eg, you are in some country like China that blocks access to certain sites. The HotSpot program that was mentioned in one reply has been promoted as a solution for people who need to circumvent the so-called "great firewall of China."