Proxies are used to hide your tracks, make it appear that you're in a different geographical location, or make it appear that you're a different user. Proxy lists are simply lists of such proxy servers.
You might purchase a list of 'public proxies' - this will be a list of usually scraped or bruteforced proxies that are usually either poorly configured servers or hacked ones. These are usually fickle and unreliable, and can be used for scraping en-mass.
Or you might purchase a list of 'private proxies' - this will usually be a smaller list, and will consist of servers specifically configured to act as proxy servers. These tend to be much more reliable and expensive.