VPN = virtual private network, it proxies ALL the data going in or out of your computer.
Proxies = only proxy the data to/from ONE application. If you want an application to use the proxy, you have to configure that app to use the proxy.
Generally for link spamming, signing up to web 2.0s you want to use multiple proxies. They can be private or public; private are fast, cost money and give you a limited number of IPs to use; public are free, slow, and give you a greater range of IPs to use.
A VPN isn't so good for link spamming etc because a) it only gives you one IP to use and b) many VPN providers will ban you if they get complaints.
Generally proxies don't encrypt your traffic so your ISP can still tell what you're doing (if that is an issue for you). However, you can encrypt your traffic by creating a proxy by tunneling through SSH to your SSH-enabled server.
If you want to hide your traffic from your ISP, are using a hostile wireless network etc. then you need to encrypt your traffic. A VPN (or an SSH proxy) will do this for you, but regular proxies won't.