VPN - Virtual Private Network. you can use this to pretend you're in a network that you aren't local to. Often used to connect to work or school.

Proxy - A different computer your computer sends/receives messages through. The other end of these messages often believe you're the proxy server, and never know who you are.

Torrent - Download parts of a file from different hosts, and merge them locally to get the original file. Filed are sliced into tiny portions which you then source from everyone seeding that torrent - it is peer-to-peer (e.g the files don't have to hit a server) so it can stay more anonymous.