Basically it comes down to if your IP is dynamic/static and if it is public/private. That is determined by your ISP. If your IP is static and public(like mine) you should be a little worried. Means that your machine/LAN is live on the inet and that your IP never changes. In that event if you have a router that runs NAT, then your computer is hidden sorta, cos it has a private IP LAN side. Hackers can still get as far as the router itself, but not to your actuall computer and its files, unless you want them to.
Usually if you are a broadband customer you will have a dynamic IP that changes every so often, seven days or so. If you pay extra $ then you can get a static that never changes, again more dangerous but necessary if your running services to the outside. If your on dial up, really you have little or nothing to worry about. Your hidden cos your on a modem pool, your IP changes everytime you logon, and really, you arent a tempting target anyway. Proxy servers, in the ways that you mean, do the same things as routers kinda, but they are more customizable and easier to maintain(IMHO).