Yeah, free proxies are scary. They're watching everything you do and forwarding your traffic. But they're a part of every HTTP & HTTPS session, so slip a little Bluecoat action in there and the proxy has your private info.
And since open proxies are also used by bad guys, they're more likely to be the target of government interest.
The commercial services (whether proxy or VPN) are staking their reputation on your privacy, so they're more likely to purge their logs, adequately protect their machines, etc. And the bad guys are less likely to be interested in sites that require registration / payment.