The people who do this collecting of information aren't law enforcement. They are misguided vigilante groups who do it for a sense of power. They aren't going to get subpoenas or anything like that.

You can use a proxy if it helps you feel safer. Download the Firefox add-on "Foxyproxy" and configure it to use the proxy of your choice. For the ultimate in anonymity, use the Tor proxy network http://tor.eff.org. However, make sure you understand that what tor provides is anonymity, not confidentiality. In other words, while the sites you visit may not be able to tell where you are really coming from, and your isp may not be able to tell where you are really going (assuming you checked the "Use SOCKS proxy for DNS lookup" box in FoxyProxy), the person operating the tor exit node could easily view what it is you are doing (though he can't tell what your real ip address is).