Though you can accomplish some of the same things with all three, they all serve totally different purposes. Just read the wikipedia article for each for some idea of what you are getting into.
Proxy: instead of connecting directly to the internet, you send your traffic to a second computer, and that second computer makes the connection for you. VPN: simulates a point-to-point connection between two networks, commonly with strong encryption by default. SSH: Remote administration (remote shell. You can think of a shell as kind of a windows cmd prompt).
"Beyond The Beaten Path Lies The Absolute End. It Matters Not Who You Are, Death Awaits You." Nyx Avatar
Most phones don't allow you to use proxies or VPNs over 3G/4G. No idea about Windows phones though. I know for sure that Sprint will not allow me to do that on my Galaxy S3.
VPN services work fine over Wifi though.
well I should have specified in the OP it was mainly for browsing while I'm away from home, which if I had a a data plan I would do anyway. (I don't pay for data, just unlimited talk and text)
You'd need a data plan to use a VPN.
I thought VPN would work fine over Wifi? This is mainly just for semi-secure browsing + no browsing restrictions while i'm in other countries. For example in say India, my family's ISP blocks some sites. This is to ensure I'll still be able to view them
Me: I don't know how to describe myself, so here's Jeff to do it for me. Jeff: I'm a slave in his basement. Contact the police. Will be killed. Find my body.