A proxy server has a variety of potential purposes, including:
To keep machines behind it anonymous, mainly for security.
To speed up access to resources (using caching). Web proxies are commonly used to cache web pages from a web server.
To prevent downloading the same content multiple times (and save bandwidth).
To log / audit usage, e.g. to provide company employee Internet usage reporting.
To scan transmitted content for malware before delivery.
To scan outbound content, e.g., for data loss prevention.
To bypass website restrictions at work.