Thanks for the information guys. Lots of good stuff there.You could also use uProxy to route traffic through your home Internet connection when you're out of the house and on a public Wi-Fi network.
I guess it comes down to security and/or anonymity. Currently I am less concerned with the scenario ExDilbert described and more concerned with people who want to empty my bank account, max out my credit cards or steal my identity. But I may turn my attention to anonymity down the road.