A VPN service provider (otherwise known as a Virtual Private Network) encrypts all of your traffic, replacing your ISP and routing all traffic through the VPN server, including programs and applications you might be using on your laptop or smartphone. A VPN will work with all internet-based services.
(SOURCE: strongvpn.com/difference-between-proxy-and-vpn.html)
A "proxy" or "application-level gateway", is a computer that acts as a gateway between a local network (e.g., all the computers at one company or in one building) and a larger-scale network such as the Internet.
(SOURCE: https://kb.iu.edu/d/ahoo)
VPN's are usually considered more secure connection types since traffic is routed through a network, and proxies typically work on a single ip for one user per connection. But of course as we all know in today's age, nothing is 100% secure.
